Glitch Index Mean-Reversion System for Daily and Weekly Charts

Summary

The Glitch Index measures price deviation as a percentage above or below a detrended simple moving average. The system treats sufficiently negative readings as potential long entries and exits after the index rises into positive territory. It trades long only: an entry is taken at the next bar’s market price when the index is below -2, provided its highest reading over the prior 30 bars is below +5. The position exits at the next bar’s market price once the index exceeds +2.

The recent-peak filter is intended to avoid buying after an extreme upside move, while index zones also identify readings the system treats as overbought or too extreme. Positions are sized at 6 percent of current account equity. The source frames the method for daily and weekly charts and says lower timeframes require adjusted levels. It provides no formula details in the supplied text, backtest results, or evidence of profitability, and it does not describe short selling.

Key ideas

• The Glitch Index expresses price deviation from a detrended simple moving average as a percentage.
• The system enters long below -2 if the highest reading over the past 30 bars is below +5.
• It exits at the next bar’s market price when the index rises above +2.
• The system sizes each trade at 6 percent of current account equity and takes no short positions.
• The stated intended timeframes are daily and weekly, with levels needing adjustment for shorter charts.

Tags

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