Meander System - any success stories?

All,

I’m wondering if I could canvas some opinions?

I recently had a the great pleasure of meeting Thomas Stridsman at the Technical Analyst Algorithmic trading conference (http://www.technicalanalyst.co.uk/conferences/autoconf10_speakers.htm). I’m sorry if that appears like terrible name dropping but hopefully the point I’m trying to make below will become clear – that I heard it from the horse’s mouth. I was quizzing Thomas regarding systems and methods; he said that he still gets emails today from people implementing the Meander System successfully.

Stridsman discusses the Meander System in two of his books:

• Trading Systems that work: http://www.amazon.co.uk/Tradings-Sy...980X/ref=sr_1_2?ie=UTF8&qid=1295519359&sr=8-2
• Trading Systems and Money Management: http://www.amazon.co.uk/Trading-Sys...0192/ref=sr_1_1?ie=UTF8&qid=1295519420&sr=8-1

TradeStation code here: http://trader.online.pl/ELZ/t-s-Meander_system_v_1.html for the Meander System. It has also been featured in the Active Trader magazine.

In essence the strategy appears to be a outright position (as opposed to a relative position) mean revision system, trading pull backs and overshoots to a mean in equities – in its original specification long only. I like the look of the system for its simplicity. I think it would require some adjustment from a stops and target point of view.

I’m wondering if anyone has had any experience with this system (or something akin) that they will be willing to share? I’m also wondering if anyone has had any experience of using Daily GARCH or VWAP as the mean revision markers?

I’m wondering also how such a strategy would have faired over the last couple of years, particularly through 2008 and 2009?

I’m looking for an equities strategy that can be implemented systematically using NinjaTrader with a holding period of a few days. Any pointers to public available systems that fit the criteria would be greatly appreciated.

Kind regards,

drolles

Pretty interesting. I read both books long ago and can remember reading through that system. I haven't programmed it so I have no experience to help you out but...

In my search for some new ideas, I will try to program it and test how it works out in intrady futures trading.

I'll get back here if anything worth is found.

Thanks...

Horace,

Thanks for the reply.

I have been doing further research on mean revision systems applicable to Equities. I’ve now found John Ehlers work which I find really interesting around the Fisher Transform detailed in this paper - http://www.mesasoftware.com/Papers/USING THE FISHER TRANSFORM.pdf. I’ve build a simple trading system around it; it backtests very positively – selecting the right timeframe where mean revision operates in equity prices appears to be the bit of the trick. I’ve also done some backtesting on Forex, again it appears to be a very powerful tool – given the right timeframe.

The only concern I have is that it appears not to be effective over larger look back periods of for the channel (possible sample size problem here?). I can only assume that this is because it becomes less responsive to the most recent data – i.e. there is no Exponential Weighing of more recent results.

Kind regards,

drolles

Hi drolles,

I'll take a look. I have 0 experience with this type of systems so I can't help out. Anyway, I require more than 1000 trades without optimization to consider a system for real trading regardless of the type of system it is.

I have just finished the indicator today, I'll try to program a draft of the system tomorrow.

Thx for your help.

Horace,

You might also want to see my cross post to BMT here: http://www.bigmiketrading.com/vendors-commercial-product-reviews/7872-meander-system-any-luck.html

Kind regards,

drolles

Hi drolles,

I have implemented the system in a fully automated manner.

Unfortunately I have found no profitability in intraday timeframes.

Any clue as to where I need to look? Markets and so on.

Horace

P.S: if you can understand spanish you can find videos on the indicator and trading system on my blog.

Horace,

Thanks very much for your reply.

No, I’ve not implemented Meander. Partly because the feedback was so poor on the forums.

I have developed and backtested Ehlers implementation of the Fisher Transform on NinjaTrader. This I’ve had some successes with it as I’ve discussed on BMT here: http://www.bigmiketrading.com/ninjatrader-programming/8815-fisher-transform-sample-size-problem.html

I’m making some progress with this strategy, implemented on FX intra-day and equities intra-day. However, FX performance is much stronger. I’ve implemented the strategy with a very vanilla trade management methodology. So I suspect there is much more room for improvement.

Unfortunately, my Spanish is only good enough to order beer, say hello, please and thank you. I took an introductory course many moons ago.

I’m happy to explore some possible collaboration if you think we can help each other with some research and coding. PM me if you like.

Cheers,

drolles