Turnaround Tuesday: Testing a Daily Mean-Reversion Strategy

Summary

The document describes an expert advisor for testing a calendar-based reversal hypothesis. It takes a position against Monday’s direction at the start of Tuesday: a Monday close below its open triggers a buy, while a close above its open triggers a sell. It can filter trades by Monday’s range relative to daily ATR and set stop loss and take profit distances using ATR and a risk/reward ratio.

Positions are sized either with fixed lots or a risk percentage anchored to the account balance when the advisor starts. The system evaluates daily candles, permits one open position per symbol, and closes positions at a configured hour. Its reported tests cover EURUSD, gold, and the S&P 500 over 2016–2026; the baseline is described as lacking a persistent edge, while the filtered and managed version reports a positive S&P 500 result and a stated maximum drawdown. These results are limited to the instruments and test period described, and the document presents the advisor as a research tool requiring further validation.

Key ideas

• The strategy trades against Monday’s direction at Tuesday’s daily-bar start.
• A daily ATR filter can require Monday’s range to exceed a chosen threshold.
• ATR-based stop loss and a risk/reward setting can define exits.
• Risk-based sizing uses the starting balance and requires a stop loss to calculate trade volume.
• The reported baseline did not show a persistent edge, so results depend on filters and position management.

Tags

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