A ONEUSDT Mean-Reversion Strategy with ATR Trailing Stops
Summary
This long-only strategy for ONEUSDT seeks rebounds after a sharp decline. Its entry filters require a specified two-bar price move from five to three bars ago to fall within a decline range, while the latest two-bar move must be flat or negative. The position size is calculated from a fixed account amount divided by price. Exits use a trailing stop set far below price at a multiple of 14-period ATR, or a signal based on the current close, prior high, and a close several bars earlier.
The document reports a backtest from June 2019 through December 2025, including win rate, net profit, trade count, and maximum drawdown, and compares the result with buy-and-hold. These figures are claims from the strategy description, not independently verified evidence. The reported drawdown is substantial, and the author notes risks from overfitting, execution costs, and the strategy’s narrow focus on ONEUSDT. The code and prose also differ on some implementation details, including the stated pyramiding and commission assumptions.
Key ideas
- The strategy enters long after a recent decline when the latest two-bar price move is nonpositive.
- A prior move filter constrains the size of the decline used to identify a potential reversal.
- Position sizing uses a fixed account amount divided by the asset price.
- An ATR-based trailing stop and a separate price signal govern exits.
- Reported backtest performance is asset-specific and carries drawdown and execution risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.