1. Portfolio of 10 noncorrelated low beta stocks.:
Yes, but higher volatility. Recently have gone to 6-7 stocks.
2. Stop and reverse system with longs going to shorts at low of previous day and vice versa.:
Pretty much, most swing systems use H/L as entry exit, I do like to flip though rather than pursue another setup. You need GOOD stocks for this otherwise you can be eaten alive like you said. I find more NYSE stocks that work well with it than NASD, but its hard to find the volatility so I use mostly NASD stocks.
3. No timing or exit strategy other than stop and reverse at previous days high or low.:
Intraday exits based on support (10,15,30,60 min bars), but new positions pretty much entered on H/L.
I am curious how far back you tested this system. It has a lot of appeal, but I would worry about getting chopped up in a sideways market.
Tested for last couple years over 30 stocks and it was very profitable, less so now. Also 4-5 years back it worked a little better than now. Key is catching big moves (20%+) in stock and not taking profits too early, otherwise the sideways action gets expensive. If I have 500 shares in a stock, I ride it all the way to my exit, no paring in and out. Can't say for sure that strategy is superior to paring in and out (I've tried both), but it seems to be.
