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Meander System - any luck?

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London, UK
 
Futures Experience: Beginner
Platform: TradeLink, OpenQuant, considering anything that works...
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Meander System - any luck?

All,

Iím 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 (The Technical Analyst - Conferences). Iím sorry if that appears like terrible name dropping but hopefully the point Iím trying to make below will become clear Ė that I heard it from the horseís 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: Tradings Systems That Work: Building and Evaluating Effective Trading Systems McGraw-Hill Trader's Edge Series: Amazon.co.uk: Thomas Stridsman: Books
Trading Systems and Money Management: Trading Systems and Money Management: A Guide to Trading and Profiting in Any Market McGraw-Hill Trader's Edge Series: Amazon.co.uk: Thomas Stridsman: Books

TradeStation code here: Trader-Online.plģ - TradeStationô Zone - Meander system v. 1 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 Ė 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.

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

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

Iím 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

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