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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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.
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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Makes sense. This would reduce your win rate tho because of the premium (i.e. you can be right on the direction of the underlying but still lose money if it doesn't move far enough).
End of conversation
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