A long-short mean-reversion strategy for trading a portfolio of SPY, QQQ, and TLT ETFs.
The strategy rules are available for sale. Contact us for details.
Backtest settings
Timeframe: Daily (adjusted data)
Markets: SPY, QQQ, TLT
Strategy type: Long-short mean-reversion
Maximum positions: 3
Position size: equity/3
All trades are executed at the open of the next bar
Backtest range: 01/2/2003 –12/31/2024
The strategy is not optimized for the highest annualized return.
Equity curve
Performance Summary
| STRATEGY | |
| CAGR | 6.1% |
| MDD | -17.1% |
| VOLATILITY | 9.1% |
| SHARPE | 0.67 |
| TRADES | 1112 |
| LONG TRADES | 806 |
| SHORT TRADES | 306 |
| AVERAGE TRADE | 0.38% |
| PROFIT FACTOR | 1.52 |
| WIN RATE | 65.5% |
| AVG. BARS IN TRADE | 7.5 |
| EXPOSURE | 41.1% |
The strategy’s CAGR is 6.1%. The maximum drawdown of the strategy is 17.1%. The Sharpe of the strategy is 0.67. The volatility of the strategy is 9.1%. The average holding period is 7.5 days. The win rate is 65.5%.
Two ETF positions may also be held. In this case, the CAGR increases to 8.8%, but the maximum drawdown and the volatility increase to 22.0% and 12.5%, respectively.
There have been six down years in the test period, with 2018 down the most at -7.4%. In 2008, the strategy was up 7.9%, and in 2022, it gained 17.9%.
The rules of the strategy are available separately or 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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