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How would you scan this mean reversion strategy?
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