This post contains a detailed guide for creating a mean reversion trading strategy.
You will learn what mean reversion is, how to trade it, 10 steps for building a system and a complete example of a mean reversion system.
Let’s get going!
Amibroker is an excellent tool for back testing and can also be set up for automated trading with Interactive Brokers.
The basic infrastructure is to connect Amibroker to the Interactive Brokers Trader Workstation software using the Amibroker IBController plugin as a buffer. Read more »
Members of our research program at Marwood Research will know that I update the program with new trading strategies on a regular basis.
Last month was Vix Trio and this month I have included another new trading system (with source code) called VWAP Pilot. Read more »
Filling the gap is a popular strategy where you buy a stock when it gaps down in the morning and then wait for it to fill the gap.
Many bloggers have written about how good this strategy is. However, there usually isn’t much evidence to support those claims.
I test the strategy on 20 Nasdaq stocks between 2008-2018 and find mixed results after transaction costs. Read more »
Some intraday stock traders say that if they could choose only one technical indicator it would be the VWAP.
I find that VWAP is not necessarily a holy grail and traders disagree with the best way to use it. In the rest of this article, I test two very simple VWAP trading systems and present the results. Read more »
This week we have seen a mini crash in the stock market indexes and an implosion of several short volatility ETNs. Mood in the stock market has quickly turned from exuberance to fear while some investors are ready to ‘buy the dip’.
Conventional wisdom suggests that the best time to buy stocks is when there is blood on the streets. Many suggest that high Vix readings are a good indicator to increase exposure to the market. Read more »
Last week the guys at Quantifiable Edges presented an interesting trading edge which buys one day pullbacks in the S&P 500 during strong up trends.
The exact rules are described as follows: Read more »
This month, another new trading strategy called Nuggets Of Gold has been included in our research program Marwood Research.
This is a daily, long/short strategy composed of simple rules that is designed to find short-term swing trades. Read more »
There is substantial evidence that high volatility stocks earn abnormally low returns while low volatility stocks are lower risk and thus a better choice for investors.
In this article, I take a look at the facts and present a number of strategies. The best of which is to buy low volatility stocks in low volatility environments. Read more »
I recently stumbled across an interesting article on the website medium.com which showed some incredible backtest results for a parabolic stock trading system.
The strategy attempts to find explosive, profitable stock trades and was shown to produce a 397.55% net return between 1st January and 12th November 2017.
