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Anonymous
How do you beat mean reversion? 2017-05-12 02:21:28 Post No. 2066992
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How do you beat mean reversion? 2017-05-12 02:21:28 Post No. 2066992
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Any "successful" strategy is only ever successful in the short term. See pic related. Its just a simple moving average crossover strategy of a stock index: the P/L was excessively high during the early stages but exponentially decreased over time. You can try it with any stock, index, forex or commodity and the results will always be the same. Any active strategy always tends towards mean reversion and the Profit/Loss ratio tends towards 1 (profits = losses) over the long run.
So I can't help but wonder those who consistently generate positive alpha in the long run are either extremely lucky or have insider knowledge.
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>>2066992
Looks I had too high expectations for /biz/ to sit down and have a mature discussion for once
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>>2066992
bump.
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>>2066992
Doesn't this logic imply I can take an absolutely pants-on-head retarded trading strategy and still do as well as anyone else, since my profit/loss ratio will tend toward 1 in the long run? I think if you concede that there is such a thing as a bad long-run strategy, then there must also be a good long-run strategy.
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>>2067846
>then there must also be a good long-run strategy
Pic in OP was just a fixed MA crossover strategy after optimization thats why the initial stages give high P/L.
Other than buy and hold? Not really. But since indices never go to zero, active strategies can help reduce volatility only but it won't increase your total return.
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