macrocephalopod

when was it though? also what thresholds did you use?

I need to scour my tweet history, but it was a few months ago. It was on a day when it was like 5 or 6 sigma. Was expecting things to probably revert back up, but it just kept drifting down that day.

Don’t worry I’m not one of these angry internet people. I hold no hostility, you built an awesome tool.

oh no for sure, the good news is we're now actually using methodology on this. it won't work 100% of the time, but this week it's been ridiculously on pointe. If it can work 70% of the time, I'll take it!

uh... if it works 55% of the time, you can be a trillionare...

Depends on win/loss per trade. Many momentum strategies can make money with only a 35-40% win rate because the winners make so much. Reversion strategies the opposite - you need the win rate to be well above 50% to break even.

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.