as you know some of the mean reversion systems are still long
from that momentum hold condion. The moment hold is based on a
positive slope - that slope has been flattening out and getting
closer to going red, where they will stop out. Even if price went
sideways for a few days that might be enough to casuse them to
exit, and obviously down moves like this accelerate it. Anyway just
letting you know should the market continue to weaken they will
soon trigger an exit. Again nothing exiting today
One thing I may consider in the future is whenever the
trend/hold condition is triggered after a mean reversion move has
already occured, is to take 1/2 off the table to lock in gains
(since the mean reversion move occurred) then hold 1/2 the size for
the trend hold when it triggers.
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open mean reversion systems comments
Posted by matt on 18th of Oct 2023 at 03:35 pm
as you know some of the mean reversion systems are still long from that momentum hold condion. The moment hold is based on a positive slope - that slope has been flattening out and getting closer to going red, where they will stop out. Even if price went sideways for a few days that might be enough to casuse them to exit, and obviously down moves like this accelerate it. Anyway just letting you know should the market continue to weaken they will soon trigger an exit. Again nothing exiting today
One thing I may consider in the future is whenever the trend/hold condition is triggered after a mean reversion move has already occured, is to take 1/2 off the table to lock in gains (since the mean reversion move occurred) then hold 1/2 the size for the trend hold when it triggers.