A 2.11 Sharpe mean-reversion strategy:
- More than 3x the return of S&P 500 and ~1.5x Nasdaq-100 since 1999
- 20% max drawdown vs. 57% S&P 500 and 83% Nasdaq-100
- 16 trades/year @ 69% win rate
π§΅Here's how it works:
- More than 3x the return of S&P 500 and ~1.5x Nasdaq-100 since 1999
- 20% max drawdown vs. 57% S&P 500 and 83% Nasdaq-100
- 16 trades/year @ 69% win rate
π§΅Here's how it works:
Signals:
- Compute the rolling mean of High minus Low over the last 25 days;
- Compute the IBS indicator: (Close - Low) / (High - Low);
- Compute a lower band as the rolling High over the last 10 days minus 2.5 x the rolling mean of High mins Low
- Compute the rolling mean of High minus Low over the last 25 days;
- Compute the IBS indicator: (Close - Low) / (High - Low);
- Compute a lower band as the rolling High over the last 10 days minus 2.5 x the rolling mean of High mins Low
Entry rule:
Go long whenever SPY closes under the lower band (3rd bullet), and IBS is lower than 0.3
Exit rule:
Close the trade whenever the SPY close is higher than yesterday's high
All the implementation details:
quantitativo.com
Go long whenever SPY closes under the lower band (3rd bullet), and IBS is lower than 0.3
Exit rule:
Close the trade whenever the SPY close is higher than yesterday's high
All the implementation details:
quantitativo.com
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