One of my PhD classmates told me he made a grand off my reversion calls on twitter. This is how you make friends in 2021.
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obviously strategy has to have positive expected value. but that is question of how you structure the trade not her ability to forecast for example, lily has been trading this using long gamma. and if nope doesn't generate an exit signal, it would effectively become momentum
My understanding of the signal is that it's net delta of open option positions. So the indicator will normally generate an exit signal as the market reverts.
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My point is that price-based strategies have a natural skew. Reversion-like is left-skewed and needs a high win rate. Momentum-like is right-skewed and you can survive with a low win rate. It's completely mechanical, v. hard to change.
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you can also, trade using instruments which themselves have a particular skew. lily was using a long 0dte / high gamma, the instrument has a large right skew
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yes, so for example you could use -50 / -30 threshold. lily was using something like that. but you could also use a -50 / +40 threshold. ie: you're not going to exit until a reversion is detected in the opposite direction. now you have a momentum strategy
Thanks. Twitter will use this to make your timeline better. UndoUndo
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