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3 Down, 3 Up on Nasdaq

Updated: Aug 6

A simple mean-reversion strategy for Nasdaq 100


The Idea

Nasdaq rarely goes down too many days in a row before bouncing back for a few days. And as the song goes: 3 is the magic number. To increase our chances of the downward momentum being exhausted, we add an entry condition that requires a bar with a big body. This strategy is tested with CFDs but should work just as well on any Nasdaq-100 futures.


A concept of a buy and sell signal for the strategy.
Entry and Exit Signal

Setup for Backtest

Market: US Tech 100 (Nasdaq 100)

Contract: 1 € per point

Broker: IG

Testing environment: ProRealtime 12

Timeframe: Daily

Time zone: CET

No fees and commissions are included.


Result

Total gain: 15 508.0 €

Average gain: 54.8€

Total trades: 283

Winners: 212

Losers: 71

Breakeven:

Max drawdown: 1 528.2 €

Risk/reward ratio: 1.2

Total time in the market: 30 %

Average time in the market: 10 days, 6 hours

CAGR (10 000 € in starting capital): 2.71 %

Backtest Results

Entry Conditions

  1. Three bearish days in a row: close < open

  2. At least one of the days must have a body bigger than 70% of the size of its range


Exit Conditions

  1. Three bullish days in a row: close > open


Code

ProRealTime


FAQ

Q: Am I free to use this strategy however I want?

A: Sure! But we're happy if you refer to our website and keep the creator's name in the code.


Q: I'm using another platform, can you write the code in another language?

A: No, sorry. We might add code in more languages later to the website, but until then, we recommend you try ChatGPT or something similar to help you rewrite it.


Q: Why does my backtest look different when I run the code?

A: The strategy might give different backtest results for several reasons, like added spread or fees, the wrong time-zone settings, or that you're using another type of contract.


Q: Will I make money if I run this strategy live?

A: We don't know. We're not financial advisors, we're just traders sharing our ideas.


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