regression to the mean

[sarkec]

Hello everyone,

Do you use regression to the mean while trading?
If yes, how do you use it?

Thanks

[Halliday]

I guess it all depends on what variables you use to affect the probability and what sport you intend to use it for.

Read articles on it but not for me

[marksmeets302]

Two major approaches to trading are going with the trend or against it. Going against the trend is like betting on a regression to the mean. The most simple example is scalping. A bit more complex is seeing one horse failing to penetrate a level, while another is still struggling with it but from the other direction - and then betting that will fail as well. In an uptrend, you could lay once the price is on the lower side of the trend channel, betting the trend will continue and the price will reach the upper part of the channel in a short time. Not saying that these approaches will work for anyone, all the time, but they are areas to explore.

[PeterLe]

Its an old post, but worth a read..

https://www.betangel.com/forum/viewtopic.php?f=2&t=2285

[marksmeets302]

I enjoyed this article very much: http://jonathankinlay.com/2014/05/the-m ... -scalping/.

from the bottom of the page:

• Scalping is essentially a volatility trade
• The setting of optimal profit targets are stop loss limits depend critically on the volatility of the underlying, and needs to be handled dynamically, depending on current levels of market volatility
• At low levels of volatility we should set tight profit targets and wide stop loss limits, looking to make a high percentage of small gains, of perhaps 2-3 ticks.
• As volatility rises, we need to reverse that position, setting more ambitious profit targets and tight stops, aiming for the occasional big win.

[Euler]

I enjoyed this article very much: http://jonathankinlay.com/2014/05/the-m ... -scalping/.

Thanks for posting this up it's good to see a rigorous analysis rather than just opinion. I have a scalp bot that has been working for a number of years. It just can't do decent volume.

I see my alias got a mention

[Euler]

The only thing about that post is there are a couple of things missing due to the nature of sports markets. I'm mainly thinking about time to market close and variable volatility, but an interesting examination.

[marksmeets302]

The only thing about that post is there are a couple of things missing due to the nature of sports markets. I'm mainly thinking about time to market close and variable volatility, but an interesting examination.

It gave me some inspiration as well. The nice thing about articles that can't be directly applied is that if you eventually find something you have an edge over others.