3 Free Mean Reversion Strategies (Amibroker And Tradestation Code)

The strategies on this page were summarized in this article.

Strategy 1: Deviation from a recent high in XLP

The strategy in plain English:

1. Calculate an average of the H-L over the last 25 days.
2. Calculate the (C-L)/(H-L) ratio every day (IBS).
3. Calculate a band 2.25 times lower than the high over the last 25 days by using the average from point number 1 (“ATR”).
4. If XLP closes under the band in number 3, and point 2 (IBS) has a lower value than 0.6, then go long at the close.
5. Exit when the close is higher than yesterday’s high.

 

Amibroker code:

 

range=MA((H-L),25);

OddisHigh=HHV(H,25);
OddisLow=LLV(L,25);
OddisBandLong=OddisHigh – (range*2.25);
OddisBandShort=OddisLow + (range*2.25);

Buy= Close<OddisBandLong AND ibs<0.6;
buyPrice= C;
Sell= C>Ref(H,-1);
sellPrice= Close ;

 

Tradestation code:

 

If IFF((H-L)<>0,((C-L))/(H-L),1)< 0.6
and c<=high-2.25*average(range,25)
then buy this bar at close;
If c>h[1] then sell this bar at close;

 

Strategy 2: Short IBS strategy in FXI

The strategy in plain English:

1. If today’s IBS (C-L)/(H-L) is higher than 0.9 then short at the close.
2. Exit at the close when the IBS is 0.25 or lower.

 

Amibroker code:

 

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

Short=ibs>0.9 ;
ShortPrice=Close ;
Cover=ibs<0.25 ;
CoverPrice= Close ;

 

Tradestation code:

 

If IFF((H-L)<>0,((C-L))/(H-L),1) > 0.9

then sell short this bar at close;

If IFF((H-L)<>0,((C-L))/(H-L),1) < 0.25

then buy to cover this bar at close;

Strategy 3: 5-day low in the S&P 500

The strategy in plain English:

• If today’s close is below yesterday’s five-day low, go long at the close.
• Sell at the close when the two-day RSI closes above 50.
• We have a time stop of five days if the sell criterium is not triggered.

 

Amibroker code:

 

Buy= Close<Ref(LLV(L,5),-1) ;
buyPrice= C;
Sell= RSI(2)>50 ;
sellPrice= Close ;
ApplyStop(stopTypeNBar,stopModeBars,5,1);

 

Tradestation code:

 

If c < lowest(low,5)[1]

then buy this bar at close;

If (RSI(c,2)>50 or barssinceentry=5) then sell this bar at close;

 

Disclaimer: 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.