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A Simple Mean Reversion Strategy
- #322
- Oct 1, 2023 4:54pm Oct 1, 2023 4:54pm
- Joined Jul 2011 | Status: Gold Again | 10,588 Posts
{quote} Though you have to admit it would make things easier? :-)
The OP needs to control for more "simple" and less "mean"
It takes a lot for me to IGNORE you, but you can try.
- #323
- Oct 2, 2023 12:57am Oct 2, 2023 12:57am
{quote} I thought the method was simple mean but now it is overrun by interlopers using complicated things like Hurst, using big words like extrapolated... The OP needs to control for more "simple" and less "mean"
- #324
- Edited 5:39pm Oct 31, 2023 4:51pm | Edited 5:39pm
Perfection does not exist, EVERYTHING can be improved
- #327
- Edited 1:44am Dec 22, 2023 1:23am | Edited 1:44am
- Joined Aug 2010 | Status: Stare Into the Lights My Pretties! | 795 Posts
I made this tool some time ago for research purposes to see how exactly the prices (high-Low) are distributed during the 24 hour cycle. You can place it in indicators folder and see for yourself. It's a bit CPU intensive because of the way I code it.....but it works and the data is accurate. You can point at any level and it shows you the distance and the exact time and date. So you can go back in history to check how this day looks and what is the shape of the curve.
You have to click on the button "Calculate" to draw the data.
You have to click on the button "Calculate" to draw the data.
- #330
- Edited 12:44pm Jul 3, 2024 11:04am | Edited 12:44pm
Personally I think that mean reversion strategies work well in the forex market, by nature countries strive to make their currencies strong, which makes trends in this market not so long, so for me it makes sense to use strategies that revert to the mean or to its "fair" price.
I think the main thing is to stay with small positions, open trades every time the price moves away from the fair price and if you have to open new trades (having some open trades) you have to do it with enough distance between trades.
Below I share the results of a mean reversion system (with a backtest of 100% data quality) the following results over a period of just over 6 years following the principles mentioned earlier in this thread.
these are the results of a backtest of a mean reversion system from 2018 to 2024, you can see that it has a considerable maximum drawdown period, but by keeping it small you can overcome that difficulty as well. USDCAD
The point is that I agree with Riskcuit about his trading and the advice he gives on how to stay in the game with this type of strategy. It is worth noting that this strategy by its nature (uses stochastic indicator) can have buy and sell trades open at the same time, making the impact of the drawdown in strongly trending markets easier to handle.
I think the main thing is to stay with small positions, open trades every time the price moves away from the fair price and if you have to open new trades (having some open trades) you have to do it with enough distance between trades.
Below I share the results of a mean reversion system (with a backtest of 100% data quality) the following results over a period of just over 6 years following the principles mentioned earlier in this thread.
these are the results of a backtest of a mean reversion system from 2018 to 2024, you can see that it has a considerable maximum drawdown period, but by keeping it small you can overcome that difficulty as well. USDCAD
The point is that I agree with Riskcuit about his trading and the advice he gives on how to stay in the game with this type of strategy. It is worth noting that this strategy by its nature (uses stochastic indicator) can have buy and sell trades open at the same time, making the impact of the drawdown in strongly trending markets easier to handle.
- #331
- Edited 5:19pm Jul 6, 2024 2:06pm | Edited 5:19pm
- Joined Feb 2009 | Status: Down to Earth! | 2,358 Posts
fooled by randomness in art
Meditation All Time Return:
8.9%
{quote} Is it possible to renew the indicator? It says that the time limit where it could be used has passed.
- #334
- Jul 10, 2025 12:06am Jul 10, 2025 12:06am
Today I would like to share what I consider, the most fun strategy to trade that I personally use. It’s simple, it works, and anyone can do it. Not only that, you can use it on any timeframe, depending on how much time you’d like to spend in front of the charts. Some people really enjoy spending lots of time on the charts, while others only want to check in only a few times a day to adjust their positions. Regardless of where you are on that spectrum, this strategy can work for you. Although, on the surface, the strategy is very simple and easy...
I've coded out what you've generously shared in this thread, and chucked it aside for a couple of years now. I've freed up a couple of hours today to deep dive into the statistical significance of what you proposed, specifically on the scaling in method.
I want to share my findings with you. Let me know if this is something you've analysed yourself as well:
Test objectives: At the crux of it, I ran an A/B test between 2 strategies to evaluate the efficacy of your prescribed scaling in method:
--> Strategy A: "With scaling filter - What you described, within a single timeframe only"
--> Strategy B: "Normal scaling - Basic averaging into losers based on x pips"
--> Timeframe (H1) - Statistical significance is similar for all time frames
(A) Main performance & risk summary
(B) Statistical significance: Mean return
(C) Statistical significance: Risk metrics (Mean of losses)
(D) Statistical significance: Risk metrics (Volatility (Variance of Returns))
(E) Statistical significance: Risk metrics (Mean of Intra-Cycle Drawdown)
(F) Return distribution (Shorter left tail, sharper peak, higher mean return)
(G) Loss distribution (Shorter left tail, sharper peak, higher (better) mean loss per trade)
What does this mean?
1) Better mean returns
2) Smaller average losses
3) Lower volatility
4) No statistically significant impact on average drawdown
If you haven't seen this, I hope this has helped to solidify your conviction to this good work.
Would love to hear your thoughts on this.
Thank you once again for this intellectually provoking topic.
AntiCre - If you are reading this, I hope to hear your thoughts as well!
- #337
- Jul 17, 2025 3:04am Jul 17, 2025 3:04am
- Joined Apr 2006 | Status: Metatrader Programmer | 1,422 Posts
On request of @PayTheBid, here is a new version of the yzFairValueCandles indicator with an updated expiration date:
See post #186 for details.
See post #186 for details.
- #340
- Aug 18, 2025 3:19pm Aug 18, 2025 3:19pm
On request of @PayTheBid, here is a new version of the yzFairValueCandles indicator with an updated expiration date: {file} See post #186 for details.
Those who don't believe in magic will never find it