Momentum Reversion — Strategy by Toddwaters72
By Toddwaters72
Performance Metrics
- Author: Toddwaters72
- Symbol: CME_MINI:ES1!
- Timeframe: 15 minutes
- Net P&L: +95,675.00 USD (+9.57%)
- Win Rate: 58.0%
- Profit Factor: 2.268
- Max Drawdown: 9,400.00 USD (0.93%)
- Total Trades: 238
Description
A mean reversion strategy that takes a position when price reenters a large candle body. Filter for candle size by percentage of price movement. Adjustable entry position based on number of ticks price moves back into the large candles body. Robust take profit and stop loss conditions. Filter valid time window for potential trades. Note: The default conditions were just place holders. They are not the settings on the chart displayed. This is a very finicky strategy. You really need to dial in the parameters for each asset. I recommend playing with different timeframes and treating it as a scalping strategy. Adjust the valid candle size with one profit/loss condition enabled then adjust the other parameters to maximize potential profits. This is not for everyone. I wanted to see what doing the opposite of my momentum/continuation strategies could achieve as the successful settings in those have a very low win rate without strict time filters. Created with Gemini. No information generated with this script is investment or trading advice. For entertainment/frustration purposes only.