3-Bar Low Strategy by Botnet101
By Botnet101
Performance Metrics
- Author: Botnet101
- Symbol: AMEX:SPY
- Timeframe: 1 day
- Net P&L: +23,118,987.01 USD (+2,311.90%)
- Win Rate: 77.7%
- Profit Factor: 1.947
- Max Drawdown: 4,414,884.74 USD (43.72%)
- Total Trades: 605
- Sharpe Ratio: 0.207
Description
█ STRATEGY DESCRIPTION The "3-Bar Low Strategy" is a mean-reversion strategy designed to identify potential buying opportunities when the price drops below the lowest low of the previous three bars. It enters a long position when specific conditions are met and exits when the price exceeds the highest high of the previous seven bars. This strategy is suitable for use on various timeframes.█ WHAT IS THE 3-BAR LOW? The 3-Bar Low is the lowest price observed over the last three bars. This level is used as a reference to identify potential oversold conditions and reversal points.█ WHAT IS THE 7-BAR HIGH? The 7-Bar High is the highest price observed over the last seven bars. This level is used as a reference to identify potential overbought conditions and exit points.█ SIGNAL GENERATION 1. LONG ENTRY A Buy Signal is triggered when: The close price is below the lowest low of the previous three bars (`close _highest[1]`). This indicates that the price has shown strength, potentially confirming the reversal and prompting the strategy to exit the position. █ ADDITIONAL SETTINGS MA Period: The lookback period for the 200-period EMA used in the EMA Filter. Default is 200. Use EMA Filter: Enables or disables the EMA Filter for long entries. Default is disabled. Start Time and End Time: The time window during which the strategy is allowed to execute trades. █ PERFORMANCE OVERVIEW This strategy is designed for mean-reverting markets and performs best when the price frequently oscillates around key support and resistance levels. It is sensitive to oversold conditions, as indicated by the 3-Bar Low, and overbought conditions, as indicated by the 7-Bar High. Backtesting results should be analyzed to optimize the MA Period and EMA Filter settings for specific instruments.