Lemme explain this for the people in the back: if you have a mean reversion based strategy and you end up hitting a value far outside the mean, that should be a signal to not fight the trend and pray for reversion.
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Yeah on backtest for longs greatly improved PnL by stopping for the day if the -100 stop is hit
alwaysBackrest Aug 2011 or Mar 2020, reversion strategies got carried out even with a stop, without a stop it’s carnage
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*backtest
Thanks. Twitter will use this to make your timeline better. UndoUndo
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We did backtest March with our data and it performs fine actually. Feb it loses a bit on the long side.
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Expect it depends on your timeframe - >1 day reversion was a terrible trade to be in. Intraday plausibly not so bad.
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