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gaj


Total Posts: 8
Joined: Apr 2018
 
Posted: 2018-05-12 07:57
Long time lurker first time poster. Would like to hear your thoughts on this.

Most short-term (intraday) strategies that I know of are some variant of mean reversion. Examples: market making, pairs trading / stat arb, index arb. The general framework is, look at some indicator (spread between two instruments, price vs moving average, bid-ask vs weighted mid, etc), buy when it goes down, sell when it goes up. You may have other bells and whistles, but the core thesis of these trades is mean reversion of the indicator.

1. Is there any intraday momentum based strategy? I've heard an argument that intraday trends are too small to give any edge after costs. On the other hand, at an ultra high frequency horizon, there may be momentum due to microstructure effects. I guess this is essentially order flow anticipation. Are there any exploitable effects at a longer horizon (seconds to minutes)?

2. Can all short-term strategies be seen as either mean reversion or momentum? A lot of strategies can essentially be reduced to a single one-dimensional indicator. In this case you only have to choice: buy low sell high (mean reversion), or buy high sell low (momentum). Things might get more tricky when you have multiple indicators that can't be combined easily. Is there any strategy that trades on mean reversion on indicator A and momentum on indicator B? Or something more complex than that?
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