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Mean

MACRO VIEW: GAZPROM MEAN REVERTION TRADINGSince about 2013 Gazprom trades laterally in relation to 1-year mean, giving abundant opportunity to take mean revertion trades. Mean revertion trade is when price goes from either 1st standard deviation from the mean to the mean itself On the chart I have pointed out such opportunities in the past (blue arrow is approximate entry towards the mean, highlighted in red) Currently Gazprom sits at the 1-year mean - so traders can pick a mean revertion next time it trades to either higher or lower 1st standard deviation!
RUS:GAZP
by Killy_Mel
FX CHART OF THE DAY: GBPUSD MEAN REVERTION DOWNWARDS TRADEGBPUSD is on risk of mean revertion downwards trade. Price is tagging upper 1st standard deviation from weekly (120-h) mean) from inside amid compressing volatility (measured by 3.2 standard deviations) Traders can take short positions at the 1st standard deviation (1.5450) with stop above relevant highs (1.5485) and targeting the weekly mean (now at 1.5365) There are no major news incoming on Monday, so no extra volatility is expected...
Short
by Killy_Mel
FX CHART OF THE DAY: USDCAD MEAN REVERTION DOWN TRADEUSDCAD is trading laterally recently around its weekly mean. Currently price is again at its relevant range upper border, marked by 1st standard deviation from weekly (120-h) mean. Volatility is compressing, hinting us that another mean revertion is likely in the cards (downwards this time) Traders can pick shorts close to the upper 1st standard deviation (1.3285) targeting the weekly mean (at 1.3225). Stops should be places above relevant highs - at 1.3335
Short
by Killy_Mel
FX CHART OF THE DAY: EUR LIKELY TO REVERT UP TO ITS MEANAfter a sharp up move earlier this week EURUSD has retraced its gains significantly. However it did not yet enter a downtrend on weekly basis - price is returning to its 1st standard deviation from weekly (120-h) mean amid compressing volatility (marked by 3.2 st deviations from the mean) Thus the price is likely to revert up to the weekly mean within a day or two Traders can pick long positions close to lower 1st st deviation from weekly mean (1.1270) with stops below relevant lows (at 1.1190) and target the mean (at 1.1410) Traders also should mind calendar events coming out on FRIDAY!=)
Long
by Killy_Mel
1
FX CHART OF THE DAY: MEAN REVERTION UPWARDS PROBABLE USDJPYUSDJPY reentered 1st standard deviation from weekly (120-h) mean after a sharp drop earlier this week In my previous chart I also mentioned that USDJPY held long term levels (see related) Price is now likely to tag the weekly mean, as it moves into usual lateral range USDJPY is also supported by BOJ, continuing its extensive monetary stimulus Traders can take long positions close to the lower 1st standard deviation (118.70) targeting the mean (121.00) - with stop below recent lows (118.20)
Long
by Killy_Mel
1
DOW JONES OVERVIEW: AMERICAN EXPRESS RISKS TO TAG 5-YEAR MEANAmerican Express has fallen below 1st standard devations from quarterly (66-day) and yearly (264-day) means, thus entering short term downtrend Price is also trading within 1-st standard deviation from 10-year (520-week) and 5-year (260-week) moving averages, meaning that it is in lateral trend on long term basis If the short term downtrend holds (price trading below 76.4-77.1 levels), there is a high probability to tag 5-year mean at 75 level Scenario is canceled, if price returns to trend on 10-year basis by spiking above 1st standard deviations from 10-year mean (above 80)
NYSE:AXPShort
by Killy_Mel
FX CHART OF THE DAY: GBP MEAN REVERTION DOWNWARDS IN PROGRESSGBP has recently broke down inside the 1st st deviation from weekly (120-hour) mean. There is high chance of price tagging the mean now amid compressing volatility. Traders can catch up with it by shorting (preferably closer to the 1st st deviation @ 1.5635) in view of price falling to its weekly (120-hour) mean @ 1.5595 However traders willing to jump into the move should also put a stop above the relevant highs (@ 1.5680), despite the fact that the stop level is far away upwards from the price. /// Please mind volatile calendar news due today on the pair: at 8-30 and 14-00 GMT!
Short
by Killy_Mel
FX CHART OF THE DAY: USDCHF MEAN REVERTION DOWNWARDS IN PROGRESSUSDCHF has recently broke down inside the 1st st deviation from weekly (120-hour) mean, after a significant leg of upmove. There is high chance of price tagging the mean now, as it needs to trade laterally now after the uptrend completion. Traders can still catch up with it by shorting (preferably closer to the 1st st deviation @ 0.9680) in view of price falling to its weekly (120-hour) mean @ 0.9635 before continuing anywhere else. However traders willing to jump into the move should also put a stop above the relevant highs (@ 0.9720), despite the fact that the stop level is far away upwards from the price.
Short
by Killy_Mel
FX CHART OF THE DAY: USDNOK RANGEBOUND TRADINGUSDNOK has been trading laterally for some time now and no sits right on its weekly (120-h) mean. Volatility (measured by 3.2 st deviations) is compressing and there is no apparent slope of the mean. As there are no significant news (calendar events) coming out on the USDNOK today. traders can pick trades both ways, betting that the price will keep reverting to the mean from its 1st standard deviation Each new approach to the border of the lateral range is a risk of breakout/breakdown, so traders should not forget putting their stops close to relevant peaks/lows.
by Killy_Mel
Cross Ladder Quantitative Analysis ExampleUsing the Harmonic Mean (Pythagorean Means), we focus on "three values" using the Cross Ladder Problem by drawing the geometric shape - vectored R/S points. These values are taken from the harmonic mean of "B" "A" "h". The calculation inputs are Log Normal, Exponential, and Skewness. (Arithmetic mean gives higher data points that will error your weight); Harmonic Mean gives equal weight to each data point. This is in part; a computation set in our Optimal Geo-Ratio (OG) Model. One would want to incorporate the Intrinsic/Time Value to carry out the time horizon price target. We typically apply the STDEV*SQRT(45 days/252) equation to the two outcomes. You may use a short cut divisor 1/16 per incremental price input for jump diffusion if preferred, integrated with a Beta stochastic volatility model. Square Time Value and Excess Kurtosis are not shown in this example. Just remember volatility is the standard deviation of expected returns. Volatility is proportional not directional. Peace.
DShort
by Zentoro