combined mean strategies

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03/23/2023 at 2:44 PM #211988 quote
ullle73
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Senior
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 😀

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)

Entry strategy 2:

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

[2] Fridays close was lower then close from Thursday

Entry strategy 3:

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

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

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

EXIT:
- Exit when the close is higher than yesterdays high
03/25/2023 at 12:14 PM #212097 quote
robertogozzi
Moderator

Legend
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
```
GraHal and ullle73 thanked this post
03/26/2023 at 10:40 PM #212168 quote

ullle73
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Senior

thanks alot roberto!!

robertogozzi thanked this post
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