ASX SPI Mean Reversion System

My first system to document is a mean reversion system of the ASX SPI. Its not my main system, its just one of a suite of systems I use. A style of trading I like is mean reversion which I currently use on the ASX & US. It's short & sharp & gets a result within a few days. The main problem is an occasional outlier can really hurt so you need to keep the risk down (have learnt this the hard way!).

I have always been interested in index trading since it seems they are prime targets for mechanical trading. However I have not yet found much with an EOD system that I am happy with, so I tried a mean reversion technique. The final system is a combination of multiple long & short individual systems. Mean reversion is about identifying a short bounce then waiting for another bounce before entering with a high probability of jumping back at least for a day or 2.

I backtested a system & started trading recently & have 3 trades to post so far. So lets show some data.

The following is a download of my backtesting spreadsheet where I document the results of my Amibroker tests & check closed trade drawdowns , equity curves etc. The test is done on a single full size SPI contact ($10K deposit, $25 per point). My first comment is that you need an account large enough for the margin + maximum possible open trade excursion, looking at below that's something like $18K ($10K Margin + $7.4K Max MAE), & if you want say a 10% max drawdown, you would need $40K account for 1 contract.