Highly Reliable Mean Reversion Trading Strategy Backtested x Millions of Trades (One Indicator!!)
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- Опубликовано: 6 июл 2024
- I fully back-test this strategy from the Transparent Trader channel, and this one tests very well.
Source Video
• Mean Reversion Trading...
Thanks everyone for your kind support. As always, remember nothing here is investment advice and I am not an investment advisor. I do not advocate for or against any particular trading or investment strategy.
this is great i just watched his video and commented that there was no back testing. thanks!
Hi, just subscribed this is one of my favorite channels on yt from now on. Thanks for sharing is a pleasure to listen to you
Great you are back. Although profitable, i wouldn’t want to risk a 40 percent drawdown for just 2.5% annual profit. You can have that return completely risk-free.
no such thing as "risk-free" but i agree with your statement
@harry_bonkers Bonds and treasuries have higher yield so yeah that would be risk free. Technically America's economy could fall but at that point younhave more than your max drawdown to worry about
@@blackmagick77 they have higher yield only if you lock your money for many years. Also, inflation will eat away a big chunk of your profits by the time you get paid the interest. You might as well invest that money elsewhere and accept the higher risk. Pros and Cons mate... While they are not as risky as the rest of the instruments, they are not the super greatest of options out there (at least not for me).
@@blackmagick77 You would also have to consider that they can just choose not to pay on the bonds. Which is common especially at the municipal level. Then you have to ask yourself. Are you going to sue the government who is the same government who chose not to pay you?
@tomsetberg4746 I haven't invested in municipal bonds so I don't know about their default rate. That would be pretty messed up though
Great video, thank you! Is there a video where you implement the random buy?
Hi, when is the next video? Looking forward to it!
Great info, thanks for sharing the result. I wonder if you filter the 50SMA with an arctangent, so that you only take mean reversals when the SMA is horizontal, if it will improve the result, albeit at the risk of decreasing frequency..
Was the 15 minute test at the end of this video on forex or stocks? Thanks?
Hey @serious man last time I asked when next video it came out that very same day!
I know I am not that lucky, just wanted to say keep it up. I would love to learn more, do you teach this stuff in a course?
really impressive stuff. I'm also keen on coding and python and would also want to backtest the way you do. I am facing a challenge when it comes to fetching the tradingview data. please may you tell me how to do it. Thanks
Backtest this super simple strategy thats profitable from the trades I have backtested.
Bollinger Band Settings:
50 SMA
Standard Deviation 2
Sell Example:
Entry: On the first close above the Upper Bollinger Band
Stop loss: 3 ATR
Target: 0.5x the risk
Vice versa for buys.
This has gave me a 72% Winrate at the moment which is mind blowing for how simple it is too, so would be interesting to see how it performs in one of these 10,000+ Trade test videos
So at the end of the you would only have an account balance of $10250 or when u backtest u dont compound gains?
So if gains were compounded how much would your account balance be at the end of the year for stocks?
Excuse me, I don't understand rule of setting TP and SL clearly. Can you explain it, please? Thank you so much
What ticker(s)/stock(s) do you use for your testing?
Are you using a public tool to backtest or is it a custom software? Would love to try it. Thank you
This would be a fun trading range strategy. I would do a different strat on strong trend days. Thanks for the interesting information.
Im a bit afraid this is a stupid question. Forgive the newbie!
How does leverage impact the yearly roi of the forex strategy?
With what leverage was this strategy tested? Thanks!
Excellent clarity in the video!
whast about the equity curve and sharpe ratio though
hey bro what system do you use rn
Hi i want to buy from you one of your backtesting scripts is that possible?
Did the backtest took into account spreads and commisions?
could you do a backtest XAUUSD on the OANDA server using multiple ema 20 on (1-hour tf , 4-hour tf and daily). the entry rule is when the price is emerging up from the bottom of 4H ema and the 1H ema < 4H ema < daily (the short rule is the opposite). the SL is the last low or the 1.6 ATR. The TP is the last high of the 30-minute candle. when the order is on 1R, cut half of the order size. Thank you.
the other thing that I am curious about is, what kind of indicator do you suggest to determine the trend of the market (trending or sideways), it will really help if you can identify and switch the strategy mode.
you are a genius.
Fantastic video as usual. I’d love to see how profitable these strategies are when commissions (and other fees like swap for forex) are taken into account. But I realize that those vary among brokers and would thus be challenging to implement.
Trading view lets you plug in your commission rates.
Mate can you share your code for backtesting? Or do video on vectorbt.. So that we may benefit from backtesting
You have great content, thanks for putting these theories to the test. If I have a unique strategy, would you be open to backtesting it?
hey @serious when is the next video? keep it up!!
I might be missing something but on the first example you talk about 4 potential entries. If you did that with the current test wouldn't you run out of money? And not really see the real or full results of this strategy or do you just limit the amount of entries to 3?
Great Question....plus that's just one stock chart i'm showing! In the backtesting I'm testing over 2000 charts and finding hundreds of thousands of entries within the 5 year period (for stocks). So each day would have on average hundreds of possible entries. I'm going to test them all since they are all valid entries, but of course in real life nobody would actually execute them all.... so that's why i do the analysis at the end of the video, asking what would it look like if you chose a smaller more manageable number of entries. That involves choosing some trades and ignoring others, so I run that simulation 10,000 times to get a distribution of likely real world outcomes. Now what I don't do in that selection, and it would be a good improvement in future, is to ensure when i select the subset of trades is to check that none of them overlap. Haven't gotten around to coding that yet but its the logical next improvement to my testing
So is there any strategy that works
if possible, please back-test this strategy on 30 min candles or higher of any chart,
//add two Weighted Moving Averages of length 5 and 6,
if (WMA 5 > WMA 6) {
(then open a long position closing price of every bullish candle and ignore all bearish candles) && (close the previous long position as soon as a new candle begins, doesn't matter if its in profit or loss);
} else if (WMA 5 < WMA 6) {
(then open a short position at the closing price every bearish candle and ignore all bullish candles) && (close the previous short position as soon as a new candle begins, doesn't matter if its in profit or loss);
}
Thank you so much, you have completely changed the way I thought about trading
I love this stratergy, i use a MT4 indicator called The Golden Road, and i Buy Low and sell High with small amounts when the price is a long way from the Mean average and i doubled my trading account in 5months , i dont use a stop and once i place a trade i just wait for price to move back to the Mean, as i said small lots and plenty of patience and a account that gives you plenty of wiggle room :)
Could you hedge your position when price moves against you then remove the hedge when price reverses back in your direction?
if you use it on forex with leverage without Sl I assume the probability of blowing your account is high and RR very low
Honestly if you use Ict/smc this is kind of a no brainer that this works better than the normal use case. Why buy at a premium area and sell at a discount area?
Hi man, what's console are you using?
Great question! I'm using a jupyter lab notebook for all this, as it's easy to execute different sections of code and make changes to run multiple simulations
THE GOAT IS BAAAAACCCKKKK
I need your help
Your testing methodology looks very promising. Can you create a video to show us how to set this or something similar up on a widely used platform?
i second this!!
Thanks for the question! On my channel page I actually do have tutorials on getting started with backtesting with python and a jupyter notebook (or google colab), and tutorials on setting up strategies with thinkorswim
@@seriousbacktester Tested this it doesn't work from last two years, though works over all because earlier it was profitable , Could you please retest it with this and last year data.
Maybe I'm missing the glaringly obvious here, but what does "candle closes in the top/bottom 20% of the body" mean? By definition, doesn't a bearish candle always close at the bottom of the body, and a bullish at the top?
Yes you're absolutely right, i've misspoken there and you're the first one to catch that! I mean to say the bottom 20% of the candle, including the wicks
Needs a statistical test to ascertain if the results are statistically significant to rule out the null hypothesis
Was the 15/30 min backtest on forex or stocks?
Thanks for the question! The 15 minute candle run was for stocks, specifically russell 2K stocks; i don't have any 15 minute forex data archived
What would you do if you didn't have a large number of trades to sample from? Let's say your backtest produced 1000 trades. Would it be better to simulate taking maybe a random 100 trades? Or randomize the sequence of all 1000 trades?
If you backtest a strategy on thousands of days, over tens or even hundreds of symbols and it's only taking 1000 trades, you're either in the market a lot, or probably produce a very small return. A thousand trades over such a long window is not good enough to be meaningful for backtesting. But if you have to, I'd use 100 trades for the distributions, that would be my minimum...
@@statistically_significant that's pretty typical of a trend following system. You can be in one trade for an entire year, right? That reduces your trade frequency significantly.
@@jayflaggs True, but the downside when being in the market a lot is, that you, by definition, probably don't have an above market return. But if you do, especially with stocks, it's important to look out for overfitting and survivor bias. For example, if you backtest Nasdaq companies today, they might have dipped in 2001, but they survived. The once that didn't, rarely show up in backtests.
You win 9 out of 10 trades, then on the 10th trade when the market trends strongly you lose your whole account!
Only use 2% to 5% of your funds on any one trade, risk reduced trading. So trade $50 bucks or whatever...
Ever heard of a stoploss?
That's where the stop loss limit order comes in. You never leave a trade ride along with out a stop loss limit order.
in the SP futures right now many sells before target since Nov 10
a bit confused how you said 5 years but you had over 4k trades on the forex? that's certainly not daily candles.... maybe i missed something. Also I'm not sure if i saw if you accounted for commissions etc. great video overall, but just curious about those
Edit: I think I understood, you're not doing just USD/NIS, you're running on multiple forex's
Exactly right; I think it was 7 different pairs tested, no commissions are included
Is the 15 min testing data on forex or equities?
yeah this seems extremely low, less than 6% account growth for how many trades are taken and how high the winrate is, the SPY index often does better than this completely passively
The sma is going down in your own example. Surely you see how exiting above in an uptrend is Vastly more profitable. If not you will loose on average in downtrends unless you are taking more shirts than longs. I have a much more complex strategy that is also mean reverting and I have backtested this aspect of it extensively. Also Forex does not work very well because the concept of being over priced does not really apply.
The 9+ minute segment shows you are testing CHF/USD and GBP/USD symbols - so you aren't testing stocks?
I understand that this is a single indicator strategy, but I bet throwing in a bit of RSI 14 would give you a better result.
Even outside fees and commissions and broker madness, the strategies are not technically profitable. If S&P averages 7% per year and you average 5% per year you are 2% per year worse than doing nothing. As a rule of thumb the strategy should beat the do nothing average before being considered profitable. Hell even a savings account currently pays 4.9% so trading for that extra 0.1% profit over a basic savings account seems like a massive waste of time. I would even go so far as to argue that if the strategy doesn't beat the CCETFs (11-12%) it again should not be considered profitable because dumping your money in and doing nothing would provide a higher return.
Senior developer and trader here. You are wrong in so many ways. That is all.
@@apathyreview3964i second that lol.
My sense is that this will not work for strongly trending assets like crypto or tech stocks but will work for mature assets like oil & gas or FX. For example, this will miss all the massive moves that happen in crypto. However, the low risk of blowing your account, and the simplicity of the rules are amazing.
Agree completely; i would characterize this strategy as low risk, low reward
But that drawdown is wicked. 😢
This strategy requires higher equity.
We are all going to be millionaires 😂😂😂😂😂
'Promosm'
8%, 5%...pear year? that is really really bad
calling this profitable....lol
@seriousbackterster how can I get in touch with you regarding a really promising scalping strategy? Thanks
Bi' de agzini sapirdatmasan..
I can tell you've never passed a funding challenge.💀 do u even have a fxbook? NOPE
😂😂😂😂😂😂😂