Another long only strategy built with mean reversion in mind with a classic Relative Strength Index indicator on 3 periods. Buying the deep RSI 3 periods (under 10 level) and sold the long position when RSI rise above the 50 level.
I also add a dynamic lot calculation made upon the strategyprofit. You can change the value of the “initial lot” (100 shares at start) and the “step profit” which add more shares whenever the strategy gain a new stepprofit (50$ by default).
14.5% drawdown while almost being 8% of traded time in the market. Annualized return of 11.5% profit, 16 years long.
myRSI = RSI(close)
initLOT = 100
//profit step of the strategy to increase lot
stepPROFIT = 50
myLOT = max(initLOT,initLOT+ROUND((strategyprofit-stepPROFIT)/stepPROFIT))
IF NOT LongOnMarket AND myRSI<10 THEN
BUY myLOT CONTRACTS AT MARKET
If LongOnMarket AND myRSI>50 THEN
SELL AT MARKET
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