Adaptive BuyInd MR_Mom Strategy

Strategy uses Buy Indicator function to simulate simlple mean reversion strategy: RSI(3)<40;
Then rank ETFS by its simulated performance and apllies similar buy logic on best ranked
Postion is closed after N days or after another condition: RSI(3)>55;

Annual return is nothing excellent 9,18% with 5% DD in last 14 years. Goal was to have strategy with high CarMaxDD and with high level of robustness.

Strategy was optimized in 2003-2010 on 123 ETFS then tested on multiple ETF lists in 2010-2014
In order to avoid overfitting i make multiple OTS tests
I created 3 different lists of ETF ( numbers of members and types of ETFS) and performed OTS test on every list.
Winner was system which performs similiar in ITS and every OTS window.

Technical Analysis

• Percentage of Bars a Trading rule Generates Buy/Sell Signals
• Currency Mgmt v 0.9
• Screen for finding potential high volume momentum growth for the next day
• Covered Call Screener
• Consecutive Up and Down Bars - Works With Any Trading Indicator
• Average Output Per Year
• Commitments of Traders - Historical Data
• Average Stock Standard Deviation by Industry
• LSS Pivotal Buy and Sell Numbers - Trend Reaction
• ETF Symbols - Hong Kong Exchanges
• More trading objects...

Fundamental Analysis

• Yahoo Historical Buy/Sell Recommendations
• Earnings Surprise Strategy
• Small Business Optimism Index
• Percentile Rank of PEG, Price/Free Cash Flow and Price/Sales
• Margins and Turnover
• Fundamental Valuation Ratios for US Stocks
• Forex Tweets
• ASX Fundamental data
• Analyst comments
• iShares Exchange-Traded Funds - ETF Fees and Expenses
• More trading objects...