Improving the BB Mean Reversion System
Below is the result of a slight variant of the BB mean reversion tests described in post 719 where I have simply adjusted the SMA trend filter from 200 to 100 to increase trade frequency yet ensure that the BB system is only turned on when markets are in trending phase.
The mean reversion system is proving to be a very nice addition to the portfolio system suite due to it's lower volatility of returns. It might not have the punching power of the Donchian breakout systems, but it is proving to be quite reliable across my investment universe.
B3C Unscaled Gross Result
B3C Scaled Net Result with Profits Reinvested
DAll MT/ FUSEX/ B3C Blend
The best of the blends so far. The Annualised Sharpe ratio is continuing to improve as is CAGR and CAGR/Drawdown.
Regards
C
Below is the result of a slight variant of the BB mean reversion tests described in post 719 where I have simply adjusted the SMA trend filter from 200 to 100 to increase trade frequency yet ensure that the BB system is only turned on when markets are in trending phase.
The mean reversion system is proving to be a very nice addition to the portfolio system suite due to it's lower volatility of returns. It might not have the punching power of the Donchian breakout systems, but it is proving to be quite reliable across my investment universe.
B3C Unscaled Gross Result
B3C Scaled Net Result with Profits Reinvested
DAll MT/ FUSEX/ B3C Blend
The best of the blends so far. The Annualised Sharpe ratio is continuing to improve as is CAGR and CAGR/Drawdown.
Regards
C