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RSI3 Box is a long-only mean reversion system that trades large, liquid ETFs. This version has an average hold time of 2 days. I haven't explored the system in detail -- some optimization, but haven't tested a ton for robustness -- but I think it has promise and a ton of room for add'l research and improvement. The base concepts came largely from Larry Connors.
I've selected parameters to provide a short hold time, relatively good win rate, and winning trades about the same size as losers (i.e., Payoff ratio fairly close to 1.0). This version is out of the market over 60% of the time and still has reasonable returns that have been fairly consistent across years.
For those unfamiliar with Larry's work and mean reversion in general, this system suffers from the standard drawbacks - the MAE can be significant in relation to the size of the eventual wins. Also, there is fairly strong correlation across symbols (it trades a basket of 41 ETFs).
Additional information, including historical performance, is available via the Copy With Pride Google Docs site
Trading system available to member of the following group:
<a href="http://www.quantshare.com/index.php?option=group/group&lid=11">"Copy with pride" - Collaborative Trading Strategy Development</a>
Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.
