What would be a good filter for a Mean-Reverting system?

You could try the most simple filter for a mean reversion system: 200 MA.
It works well, at least for US stock market, with these systems.
 
The average win/loss ratio is around 1:1.

The strategy is fine the way it is, it is just that losses come in clusters. I am also running a trend-following system, so I don't mind if I get lesser trades in this system so that losses don't come in clusters.
 
Oadmani said:
The average win/loss ratio is around 1:1.

The strategy is fine the way it is, it is just that losses come in clusters. I am also running a trend-following system, so I don't mind if I get lesser trades in this system so that losses don't come in clusters.
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Ok, surprising, a 67% win/loss ratio at 1:1? Over what number of trades is your 67% win rate observed?

TDUK
 
Backtested. Last twenty years of data.

I am not trading markets in the US. The problem with becoming a billionaire is that, if I get 12 consecutive losses, I would blow my account at some point in time.

I tested on around 2500 trades.
 
I don't quite get it. If 12 consecutive losses wipes out the account, on a system that has a 67% win rate at 1:1, then you are trading too large. Maybe I'm missing something.
 
Oadmani said:
Absolutely. Stock universe is not huge. Stocks are fewer in this part of the world.
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If by 'absolutely' then you mean 'yes I am trading too large', then your issue is not one of filtering entries, it's an issue of risk management. If you don't see that, then this is perhaps not the game for you. Page one, paragraph one of the handbook: manage your downside.
 
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