Meander System - Any Luck?

[drolles 10]

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 (The Technical Analyst - Conferences). 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: Tradings Systems That Work: Building and Evaluating Effective Trading Systems McGraw-Hill Trader's Edge Series: http://www.amazon.co.uk/Tradings-Systems-That-Work-McGraw-Hill/dp/007135980X/ref=sr_1_2?ie=UTF8&qid=1295519359&sr=8-2

 

•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: http://www.amazon.co.uk/Trading-Systems-Money-Management-McGraw-Hill/dp/0071400192/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