LSJ Legend  Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL  User Profile | This is a very delayed response to your post but I just saw it and it rang a bell loud and clear. I was trading RTM strats and doing pretty good. Then whammo. You may know all of this but I include it just in case. The bottom line is left tail risk. It seems RTM, in general, has the characteristic of doing well for awhile and then takes losses wiping out many of the past gains. Here's a link to some discussion that was very illuminating for me: https://www.quora.com/Under-what-market-conditions-does-mean-reversion-work-better-than-trend-following Two points that stuck with me: Potentially devastating left tail losses: make a little bit of money every day and lose a fortune in one day Long period of recovery after losses: Bottom line for me is RTM trading is a small part of what I do now. | |
