Nasdaq (QQQ) Mean Reversion (Amibroker And Tradestation Code)

The strategy in plain English:

 

1. IBS (internal bar strength) must be lower than 0.25.
2. RSI (5) must be below 25.
3. If 1 and 2 are fulfilled, go long at the close.
4. Exit when close is higher than yesterday’s high (you can use higher than yesterday’s close as well – it has shorter holding periods and less drawdown).

 

 

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Amibroker code:

 

setOption(“holdminbars”,1);

ibs=(C-L)/(H-L) ;

 

Buy=RSI(5)<25 anD ibs<0.25;

buyPrice= Close;

Sell= C>Ref(H,-1); // alternatively use c>ref(c,-1)

sellPrice= Close ;

 

Tradestation code:

 

If IFF((H-L)<>0,((C-L))/(H-L),1) <= 0.25
and rsi(c,5)<25
then buy this bar at close;

If c>h[1] then Sell this bar at close;

 

 

Disclosure: We are not financial advisors. Please do your own due diligence and investment research or consult a financial professional. All articles are our opinions – they are not suggestions to buy or sell any securities.