3rd Free Strategy!

ByOddmund Groette Blog

The 3rd strategy is a mean reversion strategy backtested on semis.

Trading Rules

Trading Rules (Plain English) (Semiconductors – SMH)

  • Today is the third lower low in a row.
  • Today is the third lower high in a row.
  • If 1 and 2 are true, go long at the close.
  • Sell at the close if today’s close is higher than yesterday’s high.

Amibroker code

Buy= Low<Ref(Low,-1) AND High<Ref(High,-1) AND Ref(Low,-1)<Ref(Low,-2) AND Ref(High,-1)<Ref(High,-2) AND Ref(Low,-2)<Ref(Low,-3) AND Ref(High,-2)<Ref(High,-3);
buyPrice=Close;
Sell= C>Ref(H,-1);   
sellPrice=Close ;

Tradestation Code

If l<l[1] and l[1]<l[2] and l[2]<l[3] and 
h<h[1] and h[1]<h[2] and h[2]<h[3]

then buy this bar at close;
 
If barssinceentry=1 then Sell this bar at close;

If c>h[1] then Sell this bar at close;

Performance

Strategy type: Mean reversion.

Market: SMH.

Performance

  • No. of trades: 245
  • Average gain per trade: 1.1%
  • Win ratio: 74%
  • Profit factor: 2.5
  • Annual returns (CAGR): 9.7% (buy and hold 10%)
  • Exposure/time in the market: 12%
  • Risk-adjusted return: 75% (CAGR divided by time spent in the market (0.12))
  • Max drawdown: 48% (buy and hold 86%)

Commissions and slippage of 0.03% per trade are included.

Disclaimer

We are not financial advisors. Please do your own due diligence and investment research or consult a financial professional. All articles are our opinions – they are not suggestions to buy or sell any securities.

I’ve got an Msc from Heriot-Watt University, Edinburgh (1996), in addition a to a business administration degree the Norwegian School of Management (BI – 1994). Did my mandatory military service in between.

After university, I worked two years as an auditor (1996-1998).

I co-founded Aksjeforum.com in 1998/99 - one of the first websites about trading and investing in Norway. It was later acquired by Digi.no in 2001.

I have written 4 books about trading (in Norwegian). One of them has sold 30,000 copies, a record for a financial book in Norway.

From 2001 until 2018 full-time independent prop trader (Series 7 in 2001) and investor.

2018-today: Investor, writer, analyst.

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