Sam Beatson: Pepperstone: The 3 strategies that really work in automated trading - PursuitOfEdge/podcasts GitHub Wiki

  • there are 3 strategies that work
    1. breakouts
    2. pullbacks in trend following
    3. mean reversion e.g. sell high buy low
  • mean reversion done correctly probably produces the smoothest equity curve over time
  • breakouts are trickier because you're entering when things have already moved and the RR is not ideal
  • on FX daily, 50d moving average, with a +-3% move up or down, that's about 2.5 stddev
  • shows a block based strategies on major minors
  • moving average crossovers, 20 > 80 and both pointing up, then if one crosses down, mean revert
  • 5 minute chart
  • BB (3x) with MA filter 8/20 mean reversion on FX major/minor spreads
  • breakouts are some of the most poorly understood and traded in the retail community, so failed breakouts can be a great opportunity and more powerful than the actual breakouts themselves, which is ultimately a mean reversion