+500% Yearly - Turn 10k into 700k
This is not financial advice. The provided data may be insufficient to ensure complete confidence. I am not the original author or owner of the idea. Test the strategy on your own paper trading systems before using it with real money. Trading involves inherent risks, and past performance is not indicative of future results. I am not responsible for the strategy's performance in the future or in your case, nor do I guarantee its profitability on your instruments. Any decisions you make are entirely at your own risk
Check my previous post for more details!
Idea
US-100 often experience phases of excessive optimism (overbought) and pessimism (oversold), where prices deviate significantly from their mean value. The mean reversion strategy aims to capitalize on these deviations by entering trades when prices are likely to revert to their average.
The CCI indicator itself shows how much the price deviates from the mean. This is what you need for a Mean Reversion strategy!
Strategy
- Instrument: US100 (NQ)
- TF: 1D (The strategy does not work on time frames below)
- Initial Capital: 10k$
- Risked Money: 500$
- Data Period: 2012.01.19 - 2024.11.28
The strategy buys only if there are no open trades. That is, there can be only 1 trade at a time.
The strategy does not have a shortsell trades as instrument is often in the uptrend.
Inputs:
- Period: 4/7/14
- LowTh: -100/-75/-50
- HighTh: 50/75/100
Buy Rules: CCI(Period) < LowTh
Close Rule: CCI(Period) > HighTh
Since it is a Mean Reversion strategy:
I do not recommend using the Stop Loss as it increases the drawdown and reduces the profit.
I don’t recommend using Take Profit as it reduces profits.
Results
Conclusions
- CCI is the best indicator for Mean Reversion strategies
- The strategy works well on all MR instruments
- 71% winrate, which is pretty normal for Mean Reversion
- You need to select different parameters for each instrument. Experiment with other indicators in combination for enters and exits