Close Reversion in the Bond markets

By 12 March, 2018Blogg, Futures, Stocks/ETF

This is simple, but an effective strategy idea in  the 30-year Bond futures market. It is based on a price reversion entry signal with a range-based target entry price. For this edge, you can use an 8-day exit with a stop loss. You can further test this entry idea with different filters to improve results.

 

 

Here is the strategy logic(Are you interested in code and workspace for Tradestation?)

  1. Today’s close should be lower than or equal to yesterday close, then we buy next bar at target price or higher                                              Target Price: Close + (Range * 0.1)
  1. If today’s close is more than or equal to yesterday close, then sell short next bar at the target price.                                                                Target Price: Close – (Range * 1.3)
  1. Exit after 8 days.
  2. Exit if open position loss is greater than $3,000