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Simple Mean Reversion

  • #221
  • Aug 6, 2018 7:58pm Aug 6, 2018 7:58pm
I just read this Simple mean reversion, and i found it very very smart technique. I appreciate it. I have a good feeling about this.
Now im learning how to make the right price action with this technique frequently.
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Profit growth tells you the trader ability.
  • #222
  • Aug 7, 2018 8:36am Aug 7, 2018 8:36am
Quoting voketexpert
I just read this Simple mean reversion, and i found it very very smart technique. I appreciate it. I have a good feeling about this. Now im learning how to make the right price action with this technique frequently. {image}
Mean reversion in my experience tended to suit the turtle pairs such as EURCHF and EURGBP and EURUSD.

Indeed it still might depending on the actual strategy used.

If Equity is high and lot sizing is relatively small then try the volatile pairs such as GJ, GA, GN, EN etc.

Here are a few key points from my own analysis of mean reversion:

1. Match the symbol against its session (does not always work out to plan but very often it does);

2. I found it very important to form an appreciation of the average trading session ranges for the symbol of interest;

3. How far price moves on average in a relevant part of the trading session (Use Excel or an indicator to record this data !);

4. Think about SD's, and placing hard stops just outside say 2 SDs or what ever standard deviation multiple you determine as appropriate;
[I examine the outliers very closely here and attempt to determine their cause, the reason may not always be so obvious]

5. Be aware of upcoming news not only on the same day but the next day (avoid trading via mean reversion in this situation);
[Sometimes PA will rip around and bring your cycle of trades into a major win but at what risk ??]

6. Next critical part of the puzzle is to formulate a Progressive Lot Sequence, that is each additional lot size is greater than the previous one;
[Trade 1=0.01, Trade 2= 0.02, Trade 3=0.03 or non-linear approach, more risky but requires a less shallower pullback for a net +ve outcome]
[You must know your average ranges and plan the PLS around it based mainly on your risk allocation]

7. SL placement just beyond a few SD's gives you some comfort but if price keeps trending, the reuslt will be a stop out;
[if you trade smaller volume think about 3*SD's, make sure it fits with your risk tolerance level]

Trend is your friend in the early stages but if it fails to bend then it may be the end !

What this is saying is that you need a trend to generate the entries afterwhich you need a big enough pullback in PA to exit in positive terrritory.

So far with testing the approach offered in this thread I have found one pair to be the stellar performer ... EURUSD.
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This may not always be the case eith EURUSD and there are probably several other pairs yet to be discovered.

Trading EURUSD provides lower trading costs due to tighter spread in general and if you use a H1 TF you can trade it manually.

Masterrmind.............
Master your Mind then Master your Trades
  • #223
  • Aug 7, 2018 1:00pm Aug 7, 2018 1:00pm
Quoting MathTrader7
{quote} Here is the backtest results based on real ticks: {image}
I did a backtest of a simplified version of this strategy on EUR/USD; wich am actually trading live for few years already

the chart is showing PNL in Pips

the backtest from 2011 to present day; using real ticks
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  • #224
  • Aug 7, 2018 1:52pm Aug 7, 2018 1:52pm
Quoting RondaRousey
I would rather learn a highly profitable trading system from the stupid than an unprofitable trading system from the highly intelligent. Never be fooled by intelligence. My 2 bob worth
that says a lot about your trading experience
  • #225
  • Aug 7, 2018 4:14pm Aug 7, 2018 4:14pm
Quoting alphadude
{quote} I did a backtest of a simplified version of this strategy on EUR/USD; wich am actually trading live for few years already the chart is showing PNL in Pips the backtest from 2011 to present day; using real ticks {image}
Very interesting alpha!
Hardest thing for me right now is to find a solution for run away days when price does not come back to BE even.
Sometimes it comes back a few days later but there are times it takes months or even years before it reverses.
What i'm trying to do right now is averaging in and get out at third step if its not profitable allready. (so trying to cut them short in a way)
But as with all filters and ways to deal with losses, it will also cost winners.
I hope you can give me a hint how to deal with those outliers.
Persistence will get it. Consistency will keep it.
  • #226
  • Aug 7, 2018 4:43pm Aug 7, 2018 4:43pm
Quoting Chake
{quote} Very interesting alpha! Hardest thing for me right now is to find a solution for run away days when price does not come back to BE even. Sometimes it comes back a few days later but there are times it takes months or even years before it reverses. What i'm trying to do right now is averaging in and get out at third step if its not profitable allready. (so trying to cut them short in a way) But as with all filters and ways to deal with losses, it will also cost winners. I hope you can give me a hint how to deal with those outliers.
alphaomega has nailed it already with his exit strategy of a retrace of 50% / 25% depending on time of day.

in my strategy above; the exit logic i am using is similar concept; a fibonocci retrace of 23% from current day range.

this simple rule guarantee that you will be out on the same day. you will get losing positions and winning positions.

no stop loss is used. i do not use them at all.

i dont do swing trading. all my stuff are intraday. i like to sleep well and start a new day fresh. my broker wont get any swap fees from me
  • #227
  • Aug 8, 2018 12:51am Aug 8, 2018 12:51am
Quoting alphadude
{quote} alphaomega has nailed it already with his exit strategy of a retrace of 50% / 25% depending on time of day. in my strategy above; the exit logic i am using is similar concept; a fibonocci retrace of 23% from current day range. this simple rule guarantee that you will be out on the same day. you will get losing positions and winning positions. no stop loss is used. i do not use them at all. i dont do swing trading. all my stuff are intraday. i like to sleep well and start a new day fresh. my broker wont get any swap fees from me
Thanks buddy!
Persistence will get it. Consistency will keep it.
  • #228
  • Aug 8, 2018 4:49am Aug 8, 2018 4:49am
Quoting JensItzig
My friend Jagg showed me this thread and i could not resist. If it's useful i will stay and try to improve it with your all help. You have to option to toggle all at will. Change colors and opacity to fit your needs. {image} {image} {image} 2828209 I will follow this now, so feel free to request improvements. Updated version with better performance while painting all the stuff (sorry for that). {file}
HI JenstItzig!

I was using your TM_DRS and enjoyed it.

Now I am trying to use your TM_DRS in MT4. I get alert: This version is expired @ 2018.07.29 . Please search for new version.

Can you help?

Thanks,

Avraham


I was using your TM_DRS before and enjoyed it.
  • #229
  • Aug 8, 2018 5:27am Aug 8, 2018 5:27am
Quoting Chake
{quote} Thanks buddy!
Time exits are also important in mean reversion. for example; for intraday trading; exit at end of day or end of session regardless of the position is a winner or not.

if your TF is few days; than consider exiting at end of week.

time exit is crucial to success. it is an indication that the trading decision you made may be wrong and thus we should terminate it
  • #230
  • Aug 8, 2018 4:57pm Aug 8, 2018 4:57pm
Quoting alphadude
{quote} alphaomega has nailed it already with his exit strategy of a retrace of 50% / 25% depending on time of day. in my strategy above; the exit logic i am using is similar concept; a fibonocci retrace of 23% from current day range. this simple rule guarantee that you will be out on the same day. you will get losing positions and winning positions. no stop loss is used. i do not use them at all. i dont do swing trading. all my stuff are intraday. i like to sleep well and start a new day fresh. my broker wont get any swap fees from me
Hi Alpha!
What is fibonacci retrace from current day range?
Sorry, i am newbie...
Thanks,
Avraham
  • #231
  • Aug 9, 2018 1:24am Aug 9, 2018 1:24am
Quoting avrahambr
{quote} Hi Alpha! What is fibonacci retrace from current day range? Sorry, i am newbie... Thanks, Avraham
google fibonacci retracements.

however; here is an example: if price moves up by 100 pips; and you opened a short position; then exit the position when it move down by 23 pips below the high of the day.
  • #232
  • Aug 9, 2018 3:17am Aug 9, 2018 3:17am
Quoting alphadude
{quote} I did a backtest of a simplified version of this strategy on EUR/USD; wich am actually trading live for few years already the chart is showing PNL in Pips the backtest from 2011 to present day; using real ticks {image}
alphadude, the system work on other pair ? GBPUSD / EURGBP ?
  • #233
  • Aug 9, 2018 7:52am Aug 9, 2018 7:52am
Quoting surfeur
{quote} alphadude, the system work on other pair ? GBPUSD / EURGBP ?
Not as good as EUR/USD, AUD/USD, NZD/USD.

I prefer EUR/USD because of low cost of trading.
  • #234
  • Aug 11, 2018 3:53am Aug 11, 2018 3:53am
Here are the last week results (2018.08.06 - 2018.08.10). Both variants of trading this method were in negative.

I also attach the monthly summarized results for both methods (2018.07.01 - 2018.07.31) - both mehtods were positive in july 2018 (original method was the winner!)

9990 = my variant of SMR with 4H MA filter, BE stop, no fixed timed 25%/50% exits but "candlestick jumping stop loss" - see above for more details
9993 = original method from post 1 with only BE stop added.
_
EA trades the broker min lots per symbol (0.01 for forex symbols, 0.10 for dax/dow) with some small kind of martingale (0.01 for first 3 trades, 0.02 for the next two trades and then 0.03 lots until MaxTradesPerSymbolAllowed is reached). Both variants open the first trade only when min level of the ATR band of 3 is reached and also have a hard stop if ATR band 6 is reached! The broker used has fixed spreads per symbol and charges no commissions per trade.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: 2018-08-13 Simple Mean Reversion EA 9990 kw32.png Size: 10 KB
Click to Enlarge Name: 2018-08-13 Simple Mean Reversion EA 9993 kw32.png Size: 10 KB
Click to Enlarge Name: 2018-08-01 Results July 2018 Simple Mean Reversion EA 9990.png Size: 11 KB
Click to Enlarge Name: 2018-08-01 Results July 2018 Simple Mean Reversion EA 9993.png Size: 11 KB
  • #235
  • Aug 11, 2018 3:58pm Aug 11, 2018 3:58pm
Quoting avrahambr
{quote} HI JenstItzig! I was using your TM_DRS and enjoyed it. Now I am trying to use your TM_DRS in MT4. I get alert: This version is expired @ 2018.07.29 . Please search for new version. Can you help? Thanks, Avraham I was using your TM_DRS before and enjoyed it.
Here is an extended version
Attached File(s)
File Type: ex4 TM_DRS.ex4   140 KB | 953 downloads
  • #236
  • Aug 15, 2018 3:28am Aug 15, 2018 3:28am
Quoting JensItzig
{quote} Here is an extended version {file}
Thank you JensItzig!
  • #237
  • Aug 17, 2018 6:52am Aug 17, 2018 6:52am
Quoting avrahambr
{quote} Thank you JensItzig!
29 Downloads and 1 Thank you. I think that’s the reason most good developers doesn’t contribute anymore here.

I wish you that the tools will help you to trade better.
  • #238
  • Aug 17, 2018 8:59am Aug 17, 2018 8:59am
Results from this week (2018.08.13 - 2018.08.17). Winner this time my variant of the method #9990 (original method +-0 #9993).

9990 = my variant of SMR with 4H MA filter, BE stop, no fixed timed 25%/50% exits but "candlestick jumping stop loss" - see above for more details
9993 = original method from post 1 with only BE stop added.
_
EA trades the broker min lots per symbol (0.01 for forex symbols, 0.10 for dax/dow) with some small kind of martingale (0.01 for first 3 trades, 0.02 for the next two trades and then 0.03 lots until MaxTradesPerSymbolAllowed is reached). Both variants open the first trade only when min level of the ATR band of 3 is reached and also have a hard stop if ATR band 6 is reached! The broker used has fixed spreads per symbol and charges no commissions per trade.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: 2018-08-20 Simple Mean Reversion EA 9990 kw33.png Size: 10 KB
Click to Enlarge Name: 2018-08-20 Simple Mean Reversion EA 9993 kw33.png Size: 9 KB
  • #239
  • Aug 17, 2018 9:25am Aug 17, 2018 9:25am
Quoting JensItzig
{quote} 29 Downloads and 1 Thank you. I think that’s the reason most good developers doesn’t contribute anymore here. I wish you that the tools will help you to trade better.
One reason why I code my own and pretend I know nothing !

If only they knew that a simple thanks means so much more than they could possibly imagine.

ps. if they coded it themselves they would soon understand that its more than a 30 second job.

Masterrmind..............
Master your Mind then Master your Trades
  • #240
  • Aug 20, 2018 3:17am Aug 20, 2018 3:17am
Quoting Masterrmind
{quote} One reason why I code my own and pretend I know nothing ! If only they knew that a simple thanks means so much more than they could possibly imagine. ps. if they coded it themselves they would soon understand that its more than a 30 second job. Masterrmind..............
Absolutely right. But sometime i think it will be a good idea to share (then i learn, nothing has changed).
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