Mean Reversion at or under 200MA — Strategy by josephgregory8976
By josephgregory8976
Performance Metrics
- Author: josephgregory8976
- Symbol: CME_MINI:MES1!
- Timeframe: 30 minutes
- Net P&L: +20,537.50 USD (+2.05%)
- Win Rate: 78.4%
- Profit Factor: 1.08
- Max Drawdown: 17,940.00 USD (1.75%)
- Total Trades: 1,839
Description
This strategy is based on the 30 minute of the S&P futures chart, MESA Long Buy will be executed if, the EMA 9 or price comes down to or under the 200 MA, AND THEN the slope of the ema 9 subsequently changes from negative to positive.The buy will be executed either; at a retest of the local lows (defined by the lowest wick between the most recent red candle that is subsequently followed by a green candle) (a retest is defined as 70% retrace from the local highs (inversely defined from local lows) to the local lows), or if a retest of the lows fails to occur, a market order will be executed at the local highs.With a fixed position size of 10 contracts, the take profits will be established as such; 2 contracts sold up 6 points of profit, the next two will be sold up 10 points of profit, and the remaining 2 contracts will be sold for 20 points of profit. As soon as the first trim is made, a stop loss is placed at break even. Further, as soon as the second trim is made, the stop loss will be moved to +5 profit points. In the instance that the ema 9 returns to downward sloping, stop orders will be executed. This will trigger sells either at local lows or local highs.Kind of just made this for a class project, but the logic is sound, and the results are formidable thus far - enjoy :)