SMA200 Envelope Mean Reversion with Two Exit Rules

Summary

This long-only mean-reversion strategy uses the 200-day simple moving average as a reference for large-cap stocks on daily charts. It enters when the price low falls to roughly 85–90% of the average, on the premise that a substantial decline may be followed by a return toward the longer-term mean. Traders can choose between exiting near the SMA200 or its modest upper threshold, or waiting for a higher envelope level around 110–114% of the average. Signals use intraday highs and lows rather than closing prices.

The document explains the rules and offers no performance statistics or backtest conclusions. It cautions that the strategy may struggle in persistent trends, is sensitive to the average length and envelope widths, and has no stop-loss in the described implementation. Its daily-stock framing also conflicts with the published configuration, which specifies hourly ETH/USDT futures; results on other timeframes or instruments are not established. Suggested extensions include stop-losses, short trades, volatility-adjusted bands, and additional signal filters.

Key ideas

• The entry rule buys when the daily low falls substantially below the 200-day simple moving average.
• One exit mode sells near the average, while another waits for a higher envelope threshold.
• High and low prices trigger signals, so intraday moves can affect entries and exits.
• The strategy is long-only and has no stop-loss in the described implementation.
• The document gives no measured results and cautions that strong trends and parameter choices may affect performance.

Tags

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