The Chartist – Mean Reversion Strategy

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The Chartist – Mean Reversion Strategy

Mean Reversion is a popular way for traders to capture and profit from short term price movements.

This strategy attempts to buy strongly trending stocks that are experiencing brief periods of weakness.

Once a dip has been identified, the strategy adds an additional ‘stretch’ to the entry criteria to

increase the probability of prices snapping back.

A simple exit allows a quick turnover of trades to reduce exposure.

The strategy offers reasonably consistent and robust results across both the Australian and US markets

using the same parameter settings and position sizing.

All parameters are adjustable to enhance risk adjusted performance or trade frequency.

The strategy also enables the user to test on specific universes including historical constituents^

for testing without survivorship bias.

Testing in the Australian and US markets across 35,000 symbols over a period

of 20-years and shows consistent profitability.

The strategy allows users to generate buy and sell signals, plot charts, run backtests and adjust

a myriad of parameter settings without needing to understand coding.

USER INTERFACE

Open source code

Signal generation

Backtesting

Chart plotting (Amibroker only)

Custom output for Interactive Brokers TWS

Historical constituent database testing

Regime filter (Ambroker only)

Adjustable price, volume and turnover filters

Adjustable entry parameters

Adjustable position sizing

Margin capability

Two position sizing modes (Amibroker only)

Signal ranking algorithm