In this article I decided to focus on the mean reverting nature of the Euro Future, I used a 12 year history and a 30 minute timeframe as the basis for trading. As the engine of the system I decided to use the Bollinger Bands, as if exploited well they can be used as a driving force for a mean reverting entry.
Here is the strategy these results and the code I used:
To filter the results better I decide to add a false breakout, that is a situation where the price breaks through the upper / lower Bollinger band but in the next bar it closes back in, this is the code:
These are the results:
Since the strategy never leaves the market (a simple stop and reverse) so we expose ourselves to any risk, I use an exit after a certain number of bars. This is the code:
and then I optimize the output after tot bars both for the long side and for the short side
Once I have selected the best parameters it is more stable for the system I add a monetary stop loss and optimize it
Then I try to optimize the length and standard deviation of the Bollinger Bands obtaining these results:
I decide to also try take profit and breakeven releases but they don’t give me better results so I abandon the idea.
I focus on operating filters to increase the average trade and for the short side I decide to take advantage of a market compression with the Average True Range indicator, these are the results of the optimization report:
For the long side, I decide to use my market Patterns, and through optimization choose the best pattern:
Now the strategy is complete! I realize that in recent years it has not gone very well, but if we think at the portfolio level it can be a valid strategy to hedge against risk situations.
I remind you that the photos in this article are indicative and the highlighted parameters do not reflect those actually chosen by me, the validation of the parameters requires a lot of time and a lot of analysis in order not to run into overfitting, a very complex thing that deserves a lot of in-depth analysis. In conclusion, here are the results of the strategy that you can also find in my shop under the name EC MR POPPY