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Position holding time and volatility of returns

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 Alex Krishtop, Consultant at Edgesense Solutions. Mentor at Algorithmic Traders Association

 Tuesday, April 24, 2018

An attempt to answer questions like "why wouldn't we stay in the market for longer to let our profits run" or "why wouldn't we hold positions for seconds to reduce risk": http://edgesense.net/2018/04/22/position-holding-time-and-volatility-of-returns/


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5 comments on article "Position holding time and volatility of returns"

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 Justin Orwin, Founder ChartSmart Trading.

 Saturday, April 28, 2018



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.


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 Alex Krishtop, Consultant at Edgesense Solutions. Mentor at Algorithmic Traders Association

 Saturday, April 28, 2018



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.


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 Michele Ghidotti, Private Investing Consulting

 Sunday, April 29, 2018



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


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 Alex Krishtop, Consultant at Edgesense Solutions. Mentor at Algorithmic Traders Association

 Sunday, April 29, 2018



Exactly.


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 Alex Krishtop, Consultant at Edgesense Solutions. Mentor at Algorithmic Traders Association

 Sunday, April 29, 2018



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).

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