Interesting article: The day momentum died, mean-reversion was born.

Discussion in 'Development and Psychology' started by jack, Aug 10, 2015.

  1. jack

    jack Administrator Staff Member

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    Not specifically FX, more so S&P500 / equities, but very interesting to see how things have changed non-the-less... worth a read:

    http://www.priceactionlab.com/Blog/2015/08/the-day-momentum-died/
     
  2. sqa

    sqa Village Scribe

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    Interesting. The end of the DotCom Bubble brought an end to a lot of "classic" action. The end of the QuantBubble killed what they had also found.
     
  3. Computater707

    Computater707 Well-Known Member

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    It also is probably a result of HFT
     
  4. sqa

    sqa Village Scribe

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    A bit. 2009 was when most of the "Quant" groups suddenly got exploded. I think HTF did a number to them, but I also think major market actors also brought in a lot of the same staff. (A lot of consolidation after the 2008 explosion) So a lot of edges got cut down really rapidly.

    Granted, the "best" strategies are still insider trading. But that's a whole different topic. :p
     
  5. Peterma

    Peterma Well-Known Member

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    I recall the day momentum died vividly - I was long various tech stocks, it so happened very exposed to the biggest loser on that day.

    Various analysts were warning to check the p/e ratios, when there is momentum rationale goes out the window, price is all that the trader/investor can see, he looks back, sees the momentum and jumps in.

    I can recall so clearly saying 'p/e and stuff like that is in the past, the techs are the future.'

    Have things changed? - not really, the only thing that has changed is the time frame, now momentum is shorter, still very tradable, only difference is that the market too remembers and is more conscious of change, now extended p/e or the notion of overbought/sold is not dismissed.
     

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