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RTM traders, what is your mean to which you revert?
- Thread starter IronFist
- Start date
The best spread-trader I know uses ARFIMA for timing/forecasting. He booked ~10MM in gains in 2007 and seems to be doing even better in 2008. He trades Eurex FI and Euro equity index correlations.
I have another buddy who booked 5x on 6-figures trading volatility futures this year, but I am not privy to his model. His ROC beats anyone I know, but his book is a bit >1MM and his system doesn't scale much beyond 1-2MM.
I have another buddy who booked 5x on 6-figures trading volatility futures this year, but I am not privy to his model. His ROC beats anyone I know, but his book is a bit >1MM and his system doesn't scale much beyond 1-2MM.
I try to identify the point where the guy on the other side gets squeezed and starts capitulating, and exit there. Alternatively where people with my position on would get cocky about their gains. Usually oversold conditions, once they reverse, go beyond the mean up to at least partially overbought. This only works if you buy at the end of extended moves.
If you just fade trends and exit out again, then you need to exit the moment it is no longer overdone. If you wait for the mean you'll never get it before the market reverses and "overextends" once again in the direction of the trend.
If you just fade trends and exit out again, then you need to exit the moment it is no longer overdone. If you wait for the mean you'll never get it before the market reverses and "overextends" once again in the direction of the trend.
Quote from atticus:
The best spread-trader I know uses ARFIMA for timing/forecasting. He booked ~10MM in gains in 2007 and seems to be doing even better in 2008. He trades Eurex FI and Euro equity index correlations.
I have another buddy who booked 5x on 6-figures trading volatility futures this year, but I am not privy to his model. His ROC beats anyone I know, but his book is a bit >1MM and his system doesn't scale much beyond 1-2MM.
Ironically, I recently posted in "Andy's Spread Journal" a related question to Andy (Joe Ross's Spread Trading ace). I asked him if he typically trades reversion to mean or trend with his futures calendar spreads.
Please excuse my ignorance, but what's ARFIMA???
Walt