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

• Covariance
• Intraday Floor Pivots Mask
• Percentage of new highs to total market
• Number of Stocks Making a new 52-Week Low - Market Indicator
• Backtest different Segments in your Trading System
• Chart Patterns: Double Top and Double Bottom
• JSE Historical EOD Data - Johannesburg Stock Exchange
• Falling Wedge and Rising Wedge Patterns
• mov avrages
• Trading Indicator Rank
• More trading objects...

Fundamental Analysis

• Small Business Optimism Index
• High Short Selling Activity
• Broker Ratings & Recommendations
• Market cap, ROE, ROA and Forward PE for U.S. Stocks - Fundamental Data from Yahoo
• Cash ON Hand for US stocks
• Stock Picks from Wikinancial
• Historical Economic Events
• Percentile Rank of PEG, Price/Free Cash Flow and Price/Sales
• NSE Indices - P/E, P/B & Div. Yield values
• Business Outlook Survey diffusion indexes
• More trading objects...