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Strategy uses Buy Indicator function to simulate simlple mean reversion strategy: RSI(3)<40;
Then rank ETFS by its simulated performance and apllies similar buy logic on best ranked
Postion is closed after N days or after another condition: RSI(3)>55;
Annual return is nothing excellent 9,18% with 5% DD in last 14 years. Goal was to have strategy with high CarMaxDD and with high level of robustness.
Strategy was optimized in 2003-2010 on 123 ETFS then tested on multiple ETF lists in 2010-2014
In order to avoid overfitting i make multiple OTS tests
I created 3 different lists of ETF ( numbers of members and types of ETFS) and performed OTS test on every list.
Winner was system which performs similiar in ITS and every OTS window.
Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.
