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Adaptive BuyInd MR_Mom Strategy

by clonex, 1083 days ago
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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.


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Type: Trading System

Object ID: 1469


Country:
All

Market: ETF Market

Style:
Technical Analysis

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