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Mean-Reversion Entries from Consecutive Down Closes

Article Strategy library · Author: ChaoZhang
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Summary

This long-only mean-reversion approach counts consecutive lower closes and enters after a configurable run, set to three by default. It exits after a configurable run of higher closes, also three by default. An optional EMA filter requires price to be above the selected EMA for entry, and the source includes start and end time inputs for defining a trading window.

The published configuration specifies BTC/USDT futures on hourly bars for a limited period, but no backtest performance is reported. The document highlights risks from persistent trends, noisy candle sequences, slippage, and sensitivity to the required streak length. The source has no explicit stop-loss rule, despite the narrative recommending one as a possible improvement. It also sets the trading-window condition to true rather than applying the supplied time inputs, so those inputs do not appear to restrict trading in the shown implementation.

Key ideas

  • The strategy enters long after a chosen number of consecutive lower closes and exits after a chosen number of higher closes.
  • An optional EMA filter can require price to remain above the EMA at entry.
  • The source includes trading-time inputs but sets the window condition to always true.
  • No explicit stop loss appears in the implementation, leaving risk during persistent declines.
  • The BTC/USDT hourly backtest setup reports no performance results.

Tags

FuturesCryptoMean reversionTechnical indicatorsRisk management

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