The long-only mean-reversion strategy for trading a portfolio consisting of SPY, QQQ, and TLT ETFs is based on price breakouts.
Backtest settings
Timeframe: Daily (adjusted data)
Markets: SPY, QQQ, TLT
Strategy type: Long-only mean-reversion
Maximum positions: 3 (recommended setting)
Position size: equity/3
All trades are executed at the open of the next bar
Backtest range: 01/2/2002 –12/31/2024
Note that the strategy is not optimized for the highest annualized return.
Equity curve
Performance Summary
| STRATEGY | |
| CAGR | 5.4% |
| MDD | -9.2% |
| VOLATILITY | 6.7% |
| SHARPE | 0.80 |
| TRADES | 806 |
| WIN RATE | 69.6% |
| AVG. BARS IN TRADE | 7.6 |
| EXPOSURE | 30.62% |
The strategy’s CAGR is 5.4%. The maximum drawdown of the strategy is 9.2%. The Sharpe of the strategy is 0.80. The volatility of the strategy is 6.7%.
The average holding period is 7.6 days. The strategy uses a bear market filter. Only one position may also be held. Below are the backtest results.
Backtest settings
Timeframe: Daily (adjusted data)
Markets: SPY, QQQ, TLT
Strategy type: Long-only mean-reversion
Maximum positions: 1
Position size: Fully invested
All trades are executed at the open of the next bar
Backtest range: 01/2/2002 –12/31/2024
Equity Curve
Performance Summary
| STRATEGY | |
| CAGR | 9.5% |
| MDD | -18.8% |
| VOLATILITY | 12.0% |
| SHARPE | 0.77 |
| TRADES | 461 |
| WIN RATE | 69.0% |
| AVG. BARS IN TRADE | 7.7 |
| EXPOSURE | 53.4% |
The strategy’s CAGR is 9.5%. The Sharpe of the strategy is 0.77 .The average holding period is 7.7 days.
The rules of the strategy are available as part of a bundle of strategies. Contact us for more details and prices.
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Disclaimer: No part of the analysis in this blog constitutes a trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.
Charting and backtesting program: Amibroker. Data provider: Norgate Data
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