Trend Following or Mean Reverting — Strategy by Senthaamizh
By Senthaamizh
Performance Metrics
- Author: Senthaamizh
- Symbol: NSE:NIFTY
- Timeframe: 1 day
- Net P&L: +5,502.24 NONE (+5.50%)
- Win Rate: 41.1%
- Profit Factor: 1.104
- Max Drawdown: 2,555.55 NONE (2.40%)
- Total Trades: 1,741
- Sharpe Ratio: −0.733
Description
The strategy checks nature of the instruments. It Buys if the close is greater than yesterday's high, reverse the position if the close is lower than yesterday's low and repeat the process.1. If it is trend following then the equity curve will be in uptrend2. If it is mean reverting then the equity curve will be downtrendThanks to Rayner Teo.