By switching Long/Short Leverage based on yearly Market returns we can minimize any large losses causes by large market draw backs.
Targets
- Stocks with the largest moves from their 5 day EMA that are either Over bought or over sold.
- 20 longs, 10 shorts with 0.7 and -0.3 leverage
Trading
- Collect needed data 10 minutes before market opens
- Enter trades 15 minutes after market opens
- Check for Profit/Loss thresholds every 60 seconds
- If 252 day SPY return is less than -0.02 switch Long/Short leverage percentages
Filters
- RSI Greater than 70 for Shorts, less than 30 for longs
- Above average EPS consensus standard deviation (Need to do more research, hi stddev should mean more volatility after big moves)
Please let me know if you see any issues or improvements.
There seems to be stagnate returns towards the end of the back test. Is mean reversion trading still viable in 2019?