Jaws Mean Reversion [Strategy] by TraderHalai
By TraderHalai
Performance Metrics
- Author: TraderHalai
- Symbol: CME_MINI:ES1!
- Timeframe: 1 day
- Net P&L: +101,500.00 USD (+101.50%)
- Win Rate: 71.5%
- Profit Factor: 1.694
- Max Drawdown: 32,187.50 USD (16.64%)
- Total Trades: 242
- Sharpe Ratio: 0.06
Description
May 6, 2021This very simple strategy is an implementation of PJ Sutherlands' Jaws Mean reversion algorithm. It simply buys when a small moving average period (e.g. 2) is belowa longer moving average period (e.g. 5) by a certain percentage and closes when the small period average crosses over the longer moving average. If you are going to use this, you may wish to apply this to a range of investment assets using a screener for setups, as the amount signals are low. Alternatively, you may wish to tweak the settings to provide more signals.Context can be found here:LINKMay 6, 2021Release NotesOptimize params for S&P / Nasdaq