Weekday-Based Mean Reversion with Daily Limit Orders

Summary

This script tests a daily mean-reversion approach using weekday-specific averages and standard deviations for gains and losses. It anchors levels to the UTC daily open, places a long limit below that open and a short limit above it, and sets each side’s take-profit and stop-loss distances using configurable standard-deviation multipliers. The weekday table is hardcoded, and the script allows at most one order placement per day while flat.

An open position is closed by its target, stop, or at the first bar of the next UTC day. The code therefore defines a daily, two-sided setup with an end-of-day flat rule; the page says it is best used on lower timeframes. The document does not identify the sample, method, or evidence behind the hardcoded weekday estimates, and supplies no instrument, backtest period, or performance results. Outcomes may depend heavily on how those estimates were formed and whether they fit the traded market and timeframe.

Key ideas

• The strategy sets daily entry levels relative to the UTC open using weekday-specific gain and loss averages.
• Standard-deviation multipliers control the distance to each long or short target and stop.
• It places limit orders for both directions when flat and restricts placement to one day at a time.
• Open positions are closed at a target, stop, or the first bar of the next UTC day.
• The source and validation of the hardcoded weekday statistics are not provided.

Tags

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