The Chartist – Mean Reversion Realtest Code

Description

About Course:

Mean Reversion is a popular way for traders to capture and profit from short term price movements. This strategy attempts to buy strongly trending stocks that are experiencing brief periods of weakness. Testing in the Australian and US markets across 35,000 symbols over a period of 20-years and shows consistent profitability.

This strategy attempts to buy strongly trending stocks that are experiencing brief periods of weakness. Once a dip has been identified, the strategy adds an additional ‘stretch’ to the entry criteria to increase the probability of prices snapping back. A simple exit allows a quick turnover of trades to reduce exposure. The strategy offers reasonably consistent and robust results across both the Australian and US markets using the same parameter settings and position sizing.

All parameters are adjustable to enhance risk adjusted performance or trade frequency. The strategy also enables the user to test on specific universes including historical constituents for testing without survivorship bias.

STRATEGY RULES
Initially the strategy will identify the trend of an individual symbol. The trend is deemed bullish if the symbol closes above its 100-day moving average. No signal will be generated if the close is below this average. If the symbol closes above its 100-day moving average, the strategy will then look for a short-term oversold situation. This is defined with the 2-day RSI being below 10. This is known as the setup condition.