combined mean strategies

• 03/23/2023 at 2:44 PM #211988
  ullle73

  I saw a really interesting video on youtube on combining 5 different mean reversal strategies. Its a long only strategy. They had some great results from 1993-Today. Cpompounding close to 15% a year. They all have the same exit but different entries. Hopefully Roberto comes in and saves the day like so many times before 😀

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  Entry strategy 1:

  [1]  calaculate HIGH minus LOW over the last 25 days

  [2] calculate a band 2.5 times LOWER than the HIGH over the last 10 days by using the average from point [1] above

  [3] use the IBS indicator, (IBS =  (Close – Low) / (High – Low) *100 ) 

  [4] If X closes under the band from [2] and IBS indicator has a lower value than 0.3, go long at close (or two minutes before close)

   

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  Entry strategy 2:

  [1]  Today is Monday, todays close must be lower than Fridays close

  [2] Fridays close was lower then close from Thursday

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  Entry strategy 3:

  [1] We buy when the close is lower than the low of previous 5 trading days

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  Entry strategy 4:

  [1] If today has the lowest range (High minus Low) of the previous last 6 trading days, then we go long at the close (or two min before)

  [2] The close must be above the 200-day SMA

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  Entry strategy 5:

  [1] Todays high must be higher than the previous high of the last 10 days

  [2] Todays IBS-indicator must be below 0.15

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  EXIT:

  • Exit when the close is higher than yesterdays high

   

  

  ullle73

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  03/25/2023 at 12:14 PM #212097
  robertogozzi

  There you go:

  DEFPARAM CumulateOrders = false timeframe(Daily,UpdateOnClose) // Entry strategy 1 IBS = (Close - Low) / (High - Low)// * 100 HH = highest[25](high) LL = lowest[25](low) HLrange = HH - LL Band = HH - average[10](HLrange) c1 = close < Band c2 = (IBS < 0.3) IF Not OnMarket AND c1 AND c2 THEN BUY 1 Contract AT Market ENDIF // Entry strategy 2 IF OpenDayOfWeek = 5 THEN FRIclose = close c3 = close < close[1] c4 = 0 ENDIF IF OpenDayOfWeek = 1 THEN MONclose = close c4 = MONclose < FRIclose ENDIF IF Not OnMarket AND c3 AND c4 THEN BUY 1 Contract AT Market ENDIF // Entry strategy 3 c5 = close < lowest[5](low) IF Not OnMarket AND c5 THEN BUY 1 Contract AT Market ENDIF // Entry strategy 4 Sma200 = average[200,0](close) c6 = range = lowest[6](range) c7 = close > Sma200 IF Not OnMarket AND c6 AND c7 THEN BUY 1 Contract AT Market ENDIF // Entry strategy 5 c8 = high > highest[10](high[1]) c9 = (IBS < 0.15) IF Not OnMarket AND c6 AND c7 THEN BUY 1 Contract AT Market ENDIF // EXIT IF OnMarket AND close > high[1] THEN SELL AT Market ENDIF

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  DEFPARAM CumulateOrders = false timeframe(Daily,UpdateOnClose) // Entry strategy 1 IBS     =  (Close - Low) / (High - Low)// * 100 HH      = highest[25](high) LL      = lowest[25](low) HLrange = HH - LL Band    = HH - average[10](HLrange) c1      = close < Band c2      = (IBS < 0.3) IF Not OnMarket AND c1 AND c2 THEN    BUY 1 Contract AT Market ENDIF // Entry strategy 2 IF OpenDayOfWeek = 5 THEN    FRIclose = close    c3       = close < close[1]    c4       = 0 ENDIF IF OpenDayOfWeek = 1 THEN    MONclose = close    c4       = MONclose < FRIclose ENDIF IF Not OnMarket AND c3 AND c4 THEN    BUY 1 Contract AT Market ENDIF // Entry strategy 3 c5 = close < lowest[5](low) IF Not OnMarket AND c5 THEN    BUY 1 Contract AT Market ENDIF // Entry strategy 4 Sma200 = average[200,0](close) c6     = range = lowest[6](range) c7     = close > Sma200 IF Not OnMarket AND c6 AND c7 THEN    BUY 1 Contract AT Market ENDIF // Entry strategy 5 c8     = high > highest[10](high[1]) c9     = (IBS < 0.15) IF Not OnMarket AND c6 AND c7 THEN    BUY 1 Contract AT Market ENDIF // EXIT IF OnMarket AND close > high[1] THEN    SELL AT Market ENDIF

   

  2 users thanked author for this post.

  ullle73, GraHal

  

  robertogozzi

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  03/26/2023 at 10:40 PM #212168
  ullle73

  thanks alot roberto!!

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  robertogozzi

  

  ullle73

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