Good catch! It should be: AND [Close >= [Max(253,Close) - [Max(253,Close) * 0.25]]] Not: [Close >= [ Max(253,Close) - [Max(253,Close) * Max(253,Close) * 0.25]]] The correct one ensures that the current close is within 25% of the 52 week greatest close.
For my MES mean reverting strategies (Backetested with ES), below are the backtested stats. I did this primarily so I could see each equity curve by year.
Equity Breakout Alert! Gaining significant positive divergence from benchmark thanks to discretionary stock and futures trades. Currently long equities BCS, CLR, ICL, JLL, NWG, PAG, SUN, VTSI, ZUO, and Oil, Canadian dollar futures.