A Regime-Filtered Mean-Reversion Strategy for Megacap Technology Stocks

Summary

This long-only strategy seeks rebounds after a sharp pullback from a 20-period exponential moving average. It combines an oversold smoothed RSI reading, a bullish candle, and a sector-index trend filter, then applies a reset condition to avoid repeated entries without an intervening price recovery. RSI thresholds can adapt to rolling percentiles, with fallback and warm-up settings. Entries use buffered limit orders and fixed-dollar sizing that adjusts with volatility and market-regime signals.

The strategy adds VIX-based entry and sizing controls, an earnings blackout estimated from the last reported event, an ATR-based or fixed-percentage initial stop, a trailing stop, and an exhaustion exit. Its code includes execution settings and a dashboard, but the document provides no strategy report, tested performance, or evidence that the rules are profitable. The earnings schedule is estimated using a fixed interval, and the code’s many configurable gates and execution assumptions make results sensitive to settings, data, and backtest modeling.

Key ideas

• Entries combine a pullback below an EMA-based channel with bullish price action and an oversold RSI condition.
• A sector index trend filter and VIX thresholds alter entry eligibility and position size.
• Rolling RSI percentiles provide adaptive thresholds after warm-up periods.
• Position sizing uses a trade budget, price buffer, affordability check, and commission guard.
• Initial and trailing stops and exhaustion conditions define several exit paths.
• The document gives implementation rules but no evidence of profitability.

Tags

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