Strategy type: Mean Reversion

Emini Mean Reversal uses mean reversion techniques for long and short positions. It uses a variety of short-term oscillators, momentum filter, volatility indicator, and pivotal points for generating trade signals. The rules are kept very simple to avoid over-fitting. The system does not trade frequently as it waits for robust setups to enter the positions. The system makes an average of 20 trades per year.

Emini Mean Reversal uses the Emini S&P continuous contract with daily bars for generating trade signals. The system enters and exits positions through market orders upon the next market open.

Key Details

  • Developer: Mike Law
  • Strategy type: Mean Reversion
  • Markets Traded: E-mini S&P
  • Trading Cost Assumptions: $10 per trade
  • Lease and Commissions: $50 per month / $10 per trade
  • Min. Account Size: $20,000


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