Understanding and knowing about mean reversion is essential to anyone writing an algorithm used in real world finance, along with a bunch of other terms.
It is also clear from other posts by the author that this has not been tested in the real world, only back tested.
Practitioners largely consider back testing to be somewhat irrelevant as it’s hard to achieve real world results that compare favorably to the back test. It is essentially over fitting the curve.
It is also clear from other posts by the author that this has not been tested in the real world, only back tested.
Practitioners largely consider back testing to be somewhat irrelevant as it’s hard to achieve real world results that compare favorably to the back test. It is essentially over fitting the curve.