A Long-Only IBEX 35 Mean-Reversion Strategy with Daily Signals

Summary

This document outlines a simple long-only strategy for the IBEX 35 on a daily timeframe. It enters when the close is above a 100-period closing-price average but below a 5-period average, alongside four consecutive rising lows when read from the oldest to the newest bar. It exits a long position when the current close is higher than the previous close. Orders are described as market orders, with one contract bought when the entry conditions hold and no long position is open.

The author frames the rules as an unoptimized starting point based on perceived mean reversion in the index and mentions a CAC 40 result screenshot, but supplies no performance figures or testing details in the text. The author suggests exploring short-side rules and combining the strategy with other long-only systems, while noting that related European indices may be worth examining. The document does not specify transaction costs, position sizing beyond one contract, risk controls, or out-of-sample validation, so the stated logic is a hypothesis rather than evidence of a robust edge.

Key ideas

• The strategy evaluates IBEX 35 signals on daily price bars.
• It requires price to be above a long average and below a shorter average, with a sequence of rising lows.
• It enters long with a market order and exits after a higher close than the prior day.
• The author presents the rules as unoptimized and suggests further development and portfolio use.
• The document provides no quantified performance, cost assumptions, or validation results.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.