Mean Reversion Dip The implementation of alerts and rule-based trading is not yet complete. This documentation describes the planned and partially implemented functionality.
Overview The strategy operates on the following principle: when the price of a security falls by a configured threshold relative to a reference point, a buy signal is generated. After a position is opened, the strategy follows two possible paths — a profit path with staged selling (scale-out) and a loss path with loss limitation or averaging down.
graph TD
A["Entry: Price decline detected"] --> B{"Position opened"}
B --> C{"Price rising?"}
C -->|Yes| D["Profit Management:<br/>Staged selling"]
D --> E["Take-Profit:<br/>Close position"]
C -->|No| F{"Loss threshold<br/>reached?"}
F -->|No| C
F -->|Yes| G{"Variant?"}
G -->|A| H["Stop-Loss:<br/>Sell position"]
G -->|B| I["Averaging Down:<br/>Add to position"]
I --> C
YAML Configuration The Mean Reversion Dip strategy is configured via the Strategy Configuration (YAML) field. The configuration consists of several modules, each defining an aspect of the strategy. Here is a complete example:
strategy_name : "My Dip-Buying"
version : "1.0"
universe :
mode : single_asset
direction : long_only
data :
price_field : close
execution :
order_type : market
cooldowns :
after_buy_days : 5
after_sell_days : 3
entry :
type : dip_buy
lookback_T : 20
dip_threshold_pct : 10.0
dip_reference :
type : price_T_ago
period : 20
initial_buy_sizing :
mode : pct_portfolio
pct : 2.5
profit_management :
scale_out_enabled : true
sell_fraction_basis : initial_position
scale_out_plan :
- id : "tranche_1"
trigger :
type : pct_gain
value : 5.0
reference : avg_cost
sell_fraction : 0.25
- id : "tranche_2"
trigger :
type : pct_gain
value : 10.0
reference : avg_cost
sell_fraction : 0.50
sell_remainder : true
take_profit :
mode : pct_gain
pct : 15.0
reference : avg_cost
downside_management :
loss_action : A_sell_loss
trigger :
down_reference : avg_cost
down_threshold_pct : 8.0
decision_basis : simple_threshold
variant_A_sell_loss :
enabled : true
stop_type : hard_stop
stop_reference : avg_cost
stop_threshold_pct : 10.0
order_type : market
risk_controls :
max_position_exposure_pct : 0.05
max_position_drawdown_pct : 0.15
force_exit_on_risk_breach : true
block_entry_if_exposure_exceeded : true
outputs :
emit_events : [ "entry" , "exit" , "tranche" ]
track_metrics : [ "return" , "drawdown" ] Configuration Modules in Detail The following sections describe all available keywords, grouped by module.
Root Level At the top level of the YAML configuration, the strategy name and version are defined.
Key Type Required Description strategy_nameText Yes Name of the strategy (max. 100 characters). versionText No Version number of the configuration (max. 10 characters).
universe — Asset Universe Defines which securities the strategy applies to and the trading direction.
Key Type Description modeChoice single_asset — Single security. watchlist — All securities in a watchlist.assetsList List of security identifiers (only relevant in watchlist mode). directionChoice long_only — Buy positions only. short_only — Short sales only. long_short — Both directions.
data — Data Source Configures the price data used.
Key Type Description price_fieldChoice Which price value is used: close (closing price), last (last traded price), mid (midpoint). timeframeText Timeframe for price data, e.g. 1d (daily).
execution — Order Execution Parameters for executing buy and sell orders.
Key Type Description order_typeChoice market — Market order. limit — Limit order.slippage_modelText Model for slippage calculation (optional). fees_modelText Model for fee calculation (optional).
cooldowns — Cooldown Periods Time restrictions between consecutive transactions.
Key Type Description after_buy_daysInteger Minimum number of days to wait after a purchase (min. 0). after_sell_daysInteger Minimum number of days to wait after a sale (min. 0). max_trades_per_asset_per_30dInteger Maximum number of transactions per security within 30 days (min. 1).
entry — Entry Module The entry module defines the conditions for buying. The central parameter is the percentage price decline relative to a reference point.
Key Type Description typeChoice Entry signal type: dip_buy (price decline), breakout (breakout), indicator_signal (indicator signal). lookback_TInteger Lookback period in days for entry calculation. dip_threshold_pctDecimal Percentage price decline that triggers the entry. dip_referenceObject Configuration of the reference point for decline calculation (see below). initial_buy_sizingObject Configuration of buy size (see Position Sizing).
entry.dip_reference — Decline Reference Point Key Type Description typeChoice price_T_ago — Price T days ago. highest_in_window — Highest price in lookback window. moving_average — Moving average.periodInteger Number of days for reference calculation. indicatorText Indicator name (only for moving_average, e.g. SMA or EMA).
Position Sizing (sizing) This reusable object is used in entry.initial_buy_sizing and downside_management.variant_B_average_down.add_sizing.
Key Type Description modeChoice pct_portfolio — Percentage of portfolio value. absolute_amount — Fixed amount.pctDecimal Percentage of portfolio (for pct_portfolio). amountDecimal Absolute amount (for absolute_amount).
profit_management — Profit Management Configures staged profit-taking and the final take-profit.
Key Type Description scale_out_enabledBoolean Enables staged partial selling. sell_fraction_basisChoice Reference for sell fraction: initial_position (original position size) or current_position (current position size). scale_out_planList List of tranches for staged selling (see below). take_profitObject Final take-profit configuration (see below).
profit_management.scale_out_plan[] — Tranches Each tranche defines a selling stage.
Key Type Description idText Unique identifier for the tranche (e.g. "tranche_1"). triggerObject Trigger condition (see Trigger Object). sell_fractionDecimal Fraction of position to sell (0.0 to 1.0, e.g. 0.25 for 25%). sell_remainderBoolean If true, sells the entire remaining position.
Trigger Object The trigger object is used in tranches and in take-profit.
Key Type Description typeChoice pct_gain — Percentage gain. absolute_profit — Absolute profit amount. indicator — Indicator-based.valueDecimal Threshold value for the trigger. referenceChoice Reference price: avg_cost (average cost basis) or initial_entry_price (first entry price).
profit_management.take_profit — Final Take-Profit Key Type Description modeChoice Trigger type: pct_gain, absolute_profit or indicator. pctDecimal Profit target in percent (for pct_gain). profit_amountDecimal Profit target as absolute amount (for absolute_profit). referenceChoice Reference price: avg_cost or initial_entry_price. actionText Action when reached (e.g. "sell_all").
downside_management — Downside Management Configures the behavior when prices fall after entry.
Key Type Description loss_actionChoice Selected variant: A_sell_loss (stop-loss) or B_average_down (averaging down). triggerObject Conditions that activate downside management (see below). variant_A_sell_lossObject Stop-loss configuration (Variant A). variant_B_average_downObject Averaging down configuration (Variant B).
downside_management.trigger — Loss Trigger Key Type Description down_referenceChoice Reference price: avg_cost or initial_entry_price. down_threshold_pctDecimal Percentage loss that activates downside management. decision_basisChoice Decision basis: simple_threshold (simple threshold), indicator (indicator-based), statistical (statistical) or hybrid (combined). indicator_rulesList Indicator-based rules (for indicator or hybrid). statistical_rulesList Statistical rules (for statistical or hybrid).
Indicator and Statistical Rules Objects in indicator_rules and statistical_rules have the following structure:
Key Type Description idText Unique identifier for the rule. typeChoice Indicator type: rsi, zscore, sma or ema (for indicator rules). Free text for statistical rules. params.lengthInteger Calculation period (min. 1). params.conditionText Comparison condition (max. 10 characters, e.g. "<", ">", "<=", ">=") params.valueDecimal Threshold value for the condition. params.lookbackInteger Lookback period (min. 1).
downside_management.variant_A_sell_loss — Stop-Loss Key Type Description enabledBoolean Enables the stop-loss variant. stop_typeChoice hard_stop — Fixed stop at threshold. indicator_stop — Indicator-based stop.stop_referenceChoice Reference price: avg_cost or initial_entry_price. stop_threshold_pctDecimal Percentage loss that triggers the stop. order_typeChoice market or limit.actionText Action (e.g. "sell_all").
downside_management.variant_B_average_down — Averaging Down Key Type Description enabledBoolean Enables the averaging down variant. add_sizingObject Position size for each additional purchase (see Position Sizing above). max_addsInteger Maximum number of additional purchases (min. 1). add_step_ruleObject Rule for additional purchase steps (see below). recalculate_avg_costBoolean If true, recalculates the average cost basis after each additional purchase.
add_step_rule — Additional Purchase Steps Key Type Description typeChoice each_n_pct_drop — Purchase on each further N% decline. indicator_based — Purchase on indicator signal. custom — Custom rule.drop_pct_stepDecimal Percentage price decline per additional purchase step (for each_n_pct_drop). referenceChoice Reference price: avg_cost or initial_entry_price.
risk_controls — Risk Controls Overarching limits to protect against excessive risk.
Key Type Description max_position_exposure_pctDecimal Maximum exposure per position as fraction of portfolio (0.0 to 1.0, e.g. 0.05 for 5%). max_position_drawdown_pctDecimal Maximum allowed drawdown per position (0.0 to 1.0, e.g. 0.15 for 15%). force_exit_on_risk_breachBoolean If true, closes the position immediately when risk limits are breached. block_entry_if_exposure_exceededBoolean If true, no new positions are opened when the exposure limit is reached. block_add_if_exposure_exceededBoolean If true, no additional purchases are executed when the exposure limit is reached.
outputs — Outputs Configures which events and metrics the strategy produces.
Key Type Description emit_eventsList List of event types to log (e.g. ["entry", "exit", "tranche", "stop_loss"]). track_metricsList List of metrics to track (e.g. ["return", "drawdown", "sharpe"]).
This strategy is configured via YAML. In future versions, a visual editor with syntax highlighting will be available to simplify configuration.