Mean-Reversion Swing Trading Strategy v1 by sherwind
By sherwind
Performance Metrics
- Author: sherwind
- Symbol: OANDA:EURUSD
- Timeframe: 1 hour
- Net P&L: +300.97 USD (+0.30%)
- Win Rate: 67.4%
- Profit Factor: 1.557
- Max Drawdown: 88.91 USD (0.09%)
- Total Trades: 181
- Sharpe Ratio: −6.414
Description
Apr 9, 2018A port of the TradeStation EasyLanguage code for a mean-revision strategy described at traders.com/Documentation/FEEDbk_docs/2017/01/TradersTips.html"In “Mean-Reversion Swing Trading,” which appeared in the December 2016 issue of STOCKS & COMMODITIES, author Ken Calhoun describes a trading methodology where the trader attempts to enter an existing trend after there has been a pullback. He suggests looking for 50% pullbacks in strong trends and waiting for price to move back in the direction of the trend before entering the trade." See Also: - 9 Mistakes Quants Make that Cause Backtests to Lie (blog.quantopian.com/9-mistakes-quants-make-that-cause-backtests-to-lie-by-tucker-balch-ph-d/) - When Backtests Meet Reality (financial-hacker.com/Backtest.pdf) - Why MT4 backtesting does not work (stevehopwoodforex.com/phpBB3/viewtopic.php?f=28&t=4020)Apr 10, 2018Release NotesMinor code cleanup