I am about to start building an automated system for the first time (used to be discretionary). My question to more experienced systematic guys is: If you would use a robust stable breakout/trendfollowing system, to hedge a core regression to the mean strategy, what would it be? It doesn't need to be profitable, just not lose too much on average in long term would be fine. edit: I forgot to mention, the system should trade intraday, and i pay commisions of about $1 rt.
It will just depends on what do you want to trade. Generally speaking, intraday trendfollowing system should try to pick up trendline breakouts and pullbacks after reversals, combined with divergences to your favorite indicator. However this works better if you hold longer.
Based on my little experience so far in testing and building systems, intraday systems are very hard to build accurately and most dont hold up in reality. In my opinion your best to stick with a longer term MACD system, but these trades are held for about 200 days. It doesnt seem logical to be able to get the profits from mean reversion and hedge using an intraday trend following system. To get the starch out of the trend, it has to be long term.