Moving Average and ATR As Mean Reversion

Today I came across an unpublished article I started way back in 2012. The strategy is as follows:

  1. Calculate a moving average of the last 15 days’ closing price.
  2. Calculate the average true range (ATR) of the last 15 days.
  3. Subtract 2 multiplied by 1.5 from number 1 (1.5 times ATR(15) deducted from MA(15)).
  4. If today’s closing price is lower than number 3, and close is lower than yesterday’s close, go long at close.
  5. Exit when today’s close is higher than yesterday’s high.

The strategy has worked pretty well on S&P 500 (SPY, no commissions or slippage included) over the eight years since I looked at it, except for 2018 and 2020:

The annual performance looks like this:

Disclosure: I am not a financial advisor. Please do your own due diligence and investment research or consult a financial professional. All articles are my opinion – they are not suggestions to buy or sell any securities.