This was from the TASC article posted by Jimmy.Woodyz wrote: Mon Jan 31, 2022 3:06 pm MrTools Thanks for this
One thing that would be nice trading with this, is to have OB/OS levels/zones to work with also.
Is that possible??
Code: Select all
void run()
{
StartDate = 20200301;
EndDate = 20210501;
BarPeriod = 1440;
assetAdd("SPY","STOOQ:*");
asset("SPY");
vars Signals = series(EO(seriesC(),50));
var Threshold = 0.5;
if(Signals[0] > Threshold && peak(Signals))
enterShort();
else if(Signals[0] < ‐Threshold && valley(Signals))
enterLong();
}
Quote from the article:
"Indeed, 5 of 7 trades in that time period(daily) were winning, producing an overall positive result with a profit factor close to 7.
Of course, more tests with different instruments and different time periods are needed for determining the real value of the EO oscillator for mean reversion trading."