Testing Stops
A new article that discusses testing the effectiveness of maximum loss stops has been added to the website.
Tag » mean reversion
Analysis of an RSI-based mean reversion trading system
I have done an analysis of a mean reversion trading system that is based on the 4 period RSI. You can read about it on the Mean Reversion RSI static page.
The analysis includes the typical equity growth and drawdown charts, and trading statistics. More importantly, it illustrates the technique that I teach and write about in Modeling Trading System Performance to:
- Estimate profit potential.
- Estimate risk through drawdown.
- Determine position size based on the distribution of trades and taking personal tolerance for risk into account.
- Estimate the distribution of account growth.
- Estimate the distribution of drawdown.
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