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Combining Binary Short-term and Intermediate-term Mean-Reversion Indicators (DVI and DVO)

January 7, 2010

Here is a backtest of using the DVO and DVI together (see www.dvindicators.com). No curve fitting or filtering was done, just buy when the DVO (short-term) is below the median (50) and DVI (intermediate-term) is below the median (50). Reverse the rules for shorts. The results were even better across many of the major ETFs. Of course, there is plenty of room for improvement here–but its a start!

7 Comments leave one →
  1. John French permalink
    January 8, 2010 1:50 pm

    David, is this using next day open or MOC?

    • david varadi permalink*
      January 9, 2010 1:24 pm

      hi john this is using MOC.

      cheers
      dv

  2. Bill permalink
    January 9, 2010 3:07 am

    David,

    what are your typical approach if you want to improve the parameter, do you go for higher DVO ratings like 70/30 approach for short and long or 95/5 approach.

    what else can improve the results

    • david varadi permalink*
      January 9, 2010 1:25 pm

      hi bill, adding additional filters can also help improve the results- trend/mean reversion, volatility and trend filters. of course it really depends what you want to achieve, higher CAGR or better return/risk, etc

      cheers
      dv

  3. Brad permalink
    January 11, 2010 7:03 am

    David how many trades in this backtest? I am curious if the DVI filter cuts down the number of trades from the shorter-term DVO…

  4. Kevin permalink
    January 19, 2010 10:21 am

    David – could you shoot me an e-mail at kevin.smith@tyson.com or seasidekrs@gmail? I am interested in executing the DVO/DVI strategy in an autotrade account, but need some guidance.

    Thanks,

    Kevin

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