Mean Reversion Trading Systems, Practical Methods for Swing Trading

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This book is an extension of Quantitative Trading Systems. To state the obvious, every profitable trade is a trend following trade for the period it is held. The sell price must be higher than the buy price, no matter which order these occur. Based on holding period, a system can be placed in one of a different set of categories although your definitions may vary:.

The focus of this book is systems that enter when price is overextended — far from the recent mean — anticipating that price will revert to the mean, with holding periods of a few days. By mean reversion trading systems pdf download definitions, systems such as these are defined to be mean reversion and swing trading.

Readers of my companion book, Modeling Trading System Performancewill recall my analysis of trading frequency and holding period, with the conclusion that the sweet spot for holding period is one to two days, and it is desirable to trade frequently. This book is discussing systems that closely fit those sweet spots. Equity prices typically have two cycles per month. Trading each leg of each cycle leads to about 50 trades per year. The analysis described in this book centers around systems that identify those cycles.

Entries are based primarily on indicators and patterns. Some use auxiliary series and some use multiple time frames. Mean reversion trading systems pdf download entries and exits are typically Market on Close or at a limit price. Often, the price at which an entry or exit signal will be generated can be computed in advance, so limit or market orders can be placed as day orders, removing the need to watch the market throughout the trading day.

All systems are fully disclosed, enabling readers to replicate the results described and to use the methods as bases for further development. Mean reversion systems are often criticized as being excessively risky. That topic is addressed thoroughly, including analysis of risk and practical techniques for dealing with it. The book includes over 80 program listings, downloadable and ready to run using AmiBroker, that illustrate the topics being discussed. The code shown in this book can be downloaded.

The link to the code is a separate page to avoid complications with mean reversion trading systems pdf download and legacy documents. You can learn more about the book, read additional pages, read reviews, and purchase a copy — all at Amazon. You must be logged in to post a comment. This book is an extension of Quantitative Trading Systems Subtitles might be: Practical Methods for Swing Trading Applying Statistics to Trading Transformations and Indicators Looking for the Signal in the Noise Based on the method used to identify the entry, a system can be placed mean reversion trading systems pdf download one of the categories: Trend following Mean reverting Pattern Seasonality To state the obvious, every profitable trade is a trend following trade for the period it is held.

Based on holding period, a system can be placed in one of a different set of categories although your definitions may vary: Buy and hold — forever investing Long term — months to years trading Short term — mean reversion trading systems pdf download to months Swing — hours to days Scalping — minutes to hours The focus of this book is systems that enter when price is overextended — far from the recent mean — anticipating that price will revert to the mean, with holding periods of a few days.

These links each open a pdf file related to the book. The link to the code is a separate page to avoid complications with historical and legacy documents Click this link to visit the page where the code can be downloaded. Leave a Comment Cancel reply You must be logged in to post a comment.

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The bet was triggered at 0810 A Stop Loss adjustment was made at 1100 according to the rules. WEEKY TOTAL: Profit of 85 pts which is the best yet.

WEEKY TOTAL: Profit of 1 pt so still a profitable week (just).