EMA, SMA Mean Reversion

2018年1月31日

Invite Only: But everyone will be accepted

Invite-only in order to understand demand and interest in this type of strategy. All requests are welcome and will be accepted.

Full Source is available

A blog post containing full source code and commentary of the strategy is available on the backtest-rookies website. To comply with house rules, I cannot post a direct link here. (Hint add ".com" to backtest-rookies)

Overview

The strategy uses two moving averages to represent the historical mean and a slightly smoothed version of the current price action. It will place long or short trades when the fast EMA moves far away from the historical mean (the slow SMA).

Features

• Set Backtest Date ranges
  
• Enter when EMA is x% away from the mean
  
• Independent inputs for the long and short side
  
• Only enter when the EMA has started to reverse. (Input)
  
• Optional Stop loss
  
• Limit trades to a single direction to "Buy the dip" or "Sell the top"