Mean Reversion Entries Scaled by Distance from a Moving Average

Summary

This strategy uses a simple moving average as the reference level for staged entries. It opens a long position when price falls sufficiently below the average, or a short when price rises sufficiently above it. If price moves farther against the position, it adds entries after each specified percentage step. Positions are closed when the closing price returns to the average. The described defaults are a 30-period average, a 5% initial deviation, and 1% additional steps.

The document gives a brief BTC-USDT futures backtest configuration covering roughly one month, but reports no performance results, benchmark, or trading costs. Its discussion presents the approach as suited to ranging markets while acknowledging that it can add risk as price moves against the position and may struggle in sustained trends. It also notes sensitivity to average settings and suggests trend or volatility filters, trailing stops, and smaller entry increments as possible refinements. These are proposals rather than tested improvements.

Key ideas

• Entries begin after price deviates from a simple moving average by a chosen percentage.
• Additional entries are triggered as price moves farther from the prior entry in percentage steps.
• The strategy enters long below the average and short above it, then exits when the close returns to the average.
• Scaling into a losing move can increase exposure, especially when a trend persists.
• The document provides backtest settings but no reported performance results.

Tags

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