T-Mean Reversion
Roboquant
No reviews yet
A long-only calendar strategy with no stop or target. It builds daily candles from the intraday bars on the UTC calendar and records whether each Friday closed red, below its open. At the chosen entry day and time it buys only if the last completed Friday was red, then holds through the weekend and closes the position at the chosen exit day and time. Only one position is held at a time, and an optional UTC market-hours filter ignores bars outside a set window. Size is either a fixed number of contracts or a fixed dollar amount divided by an assumed risk of 100 ticks. This showcase run uses the MNQ 1h preset: entry on Friday at 18:00 UTC (after a red Friday the week before), exit on Wednesday at 10:00 UTC, fixed-dollar sizing at $100 (2 MNQ contracts), and the market-hours filter off.
Downloads: 1Likes: 0Comments: 0
Free