Thanks for a great article Alex. I am a reversion to mean trader and holding time becomes a critical variable for me as my mean is not static. I have found it is key

to understand the relationship between time spent away from the mean with distance traveled from the mean along with ROC of the mean. Holding time is the environment in which all the above factors take place and understanding the pro's and con's related to holding time is pivotal to our success. All the best.

Right to the point, Justin. In simple words, if price has traveled for a "long" distance within somewhat "long" time then chances are that it will continue to go in the same direction. If, on the contrary, it did the same within a "short" time then most likely it will revert. The problem is only in defining these "long" and "short", and it could be quite a challenge.

Hi Alex. What could we expect increasing the holding time? Does returns volatility increase as square root of time?

Exactly.

Strange, but my reply disappeared. Yes, it is proportional to square root of time. Moreover, the average trade is also proportional to square root of data resolution (time frame).