Larry Connors have written a strategy called the double 7. This is a very simple strategy with just two rules. The less rules, the better, because less probability of curve fitting. This strategy is based on 7 days low and high for exit , but in my testing it seems to work very well on all…. My research has indicated that fading the gap is best after a strong move to either direction. Here are the criterias for a reasonable solid fade the gap strategy: Calculate a 25 day….

This does not happen very often. Knowing that SPY tends to revert to the mean: Can we make money by going long on the close of the second day? Personally I close to never trade on trends, I go the opposite way: However, this depends on the instrument you trade and of course on the time frame.

Quantitative Trading: Mean reversion, momentum, and volatility term structure

In general most currencies and commodities show a tendency…. Over the last several months I have been looking into a new potential daytrading strategy. So why do I bother to publish it?

I would like to show the…. I would like to show the results of my testing and later I will show the actual profits or losess from real trading. This is a mean reversion strategy. I decided to backtest the strategy using data from and From this data I picked the best stocks fitting my criteria.

Doing this very crude selection I ended with different stocks. Of these stocks were selected for my portfolio using results from and yes, some kind of curve fitting. Additional criterias were based on correllation with SPY, mean reversion ability this is a mean reversion strategy and average profit per fill. Doing this there is always the possibility of curve fitting, so therefore I want to have an out of sample test. That is the method I have used previously and it has worked reasonably well.

Each position is with USD, the lowest size I can possibly trade. Slippage and commissions are not included. Commissions are negligible compared to average gain per fill. In total there is about 13 fills over these two years about 30 fills per day.

How to build mean reversion trading systems and examples

I like to use the law of big numbers. Surprisingly good, if you ask me.

Is this too good to be true? Above 35 USD in accumulated profits with the lowest possible size. Remember that this is just one of several strategies one needs to trade. No matter which data you use it will be worse in real life. That is a sure thing.

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I have already started trading this strategy from 1. Update 18th of August I have now traded this strategy every day in August and made about 3 USD on minimum size. As expected, theory is a lot better than real life. However, the strategy performs well and every day has been positive except for one day with a small loss. They have on average better return than those which are easy to borrow.

Quantified Strategies Quantitative analysis, research and trading strategies in the financial markets in all time frames. When SPY Diverges From Recent High And Low: A Daytrading Strategy February 3, Posted by Oddmund Grotte under daytrading , strategies 11 Comments.

Two Big Down Days In A Row In SPY November 11, Posted by Oddmund Grotte under strategies 1 Comment.

A New Potential Daytrading Strategy August 6, Posted by Oddmund Grotte under daytrading , strategies 19 Comments. I first made a portfolio of stocks based on the following: Some industries I know from experience is very tricky to trade at least for me.

The stock must be higher than 15 USD lower priced stocks are more erratic. I only use NYSE stocks basically because of criteria number 1. So how did this sample of stocks perform in ? Recent Comments Oddmund Grotte on RSI 2 on SPY William on RSI 2 on SPY Oddmund Grotte on To Avoid Second Guessing PA on To Avoid Second Guessing Oddmund Grotte on How To Make Money Daytrading.

Quantified Strategies powered by WordPress and The Clear Line Theme. Plugins Wordpress Themes Wordpress Documents Wordpress. Posted by Oddmund Grotte under strategies. Posted by Oddmund Grotte under daytrading , strategies.