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How would you scan this mean reversion strategy?

Hey there,

I'm not sure how to code this one. I want to try this mean reversion strategy by Thomas Carr from his book Market Neutral Trading. Each trade is meant to have a long/short pair. Here is the definition for longs:

Stocks > $5 and >100,000 per day trading volume
Yesterday's close < lower Bollinger Band
Yesterday's close > 10 percent below the 20sma
Each of the previous three days before yesterday's close show a %B <0.25
Today's close > lower Bollinger Band

Thank you!

Best Answer

  • markdmarkd mod
    Accepted Answer
    That's pretty straightforward. Just pick each term, close, volume, lower Bollinger Band, etc. from drop downs below the scan window on the advanced scan page, and modify to fit your condition.

    The only thing that might be tricky is the %B <0.25. Use 1 day ago, 2 days ago, etc. to get that condition.

    The 10 per cent thing might be tricky, too. It's "and [close < sma(20,close) * .9]"

    If you get stuck, post what you have, we'll tweak it.

Answers

  • Thanks for the help! I appreciate it. Here are the scans, I think I got em right. Now to test this strategy..

    Long:
    [type = stock]
    AND [country = US]
    AND [Daily SMA(20,Daily Volume) > 100000]
    AND [Daily SMA(60,Daily Close) > 5]
    AND [Yesterday's Daily Close < Yesterday's Daily Lower BB(20,2.0,Daily Close)]
    AND [Yesterday's Daily Close < Yesterday's Daily SMA(20,Daily Close) * 0.9]
    AND [2 days ago Daily %B(20,2.0,Daily Close) < 0.25]
    AND [3 days ago Daily %B(20,2.0,Daily Close) < 0.25]
    AND [4 days ago Daily %B(20,2.0,Daily Close) < 0.25]
    AND [Daily Close > Daily Lower BB(20,2.0,Daily Close)]

    Short:
    [type = stock]
    AND [country = US]
    AND [Daily SMA(20,Daily Volume) > 100000]
    AND [Daily SMA(60,Daily Close) > 5]
    AND [Yesterday's Daily Close > Yesterday's Daily Upper BB(20,2.0,Daily Close)]
    AND [Yesterday's Daily Close > Yesterday's Daily SMA(20,Daily Close) * 1.1]
    AND [2 days ago Daily %B(20,2.0,Daily Close) > 0.75]
    AND [3 days ago Daily %B(20,2.0,Daily Close) > 0.75]
    AND [4 days ago Daily %B(20,2.0,Daily Close) > 0.75]
    AND [Daily Close < Daily Upper BB(20,2.0,Daily Close)]
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