Performance of PSI5 algo in Dow 30 stocks and three major ETFs in mean-reversion mode.
Last Update: June 5, 2022
The PSI5 algo is not a data-mined but based on a formula that models price action from a text in probability theory. The algo can be used for mean-reversion and trend-following. The mean-reversion strategies below are long-only because they take advantage of the mean-reversion dynamic in price action for timing the buying of the dips. The only parameter used by the strategy for the mean-reversion lookback period was not changed for any of the backtests below. No bear market filters are used. The algo has performed well during past bear markets.
PSI5 strategy
Backtest details for SPY, QQQ and IWM
Time-frame: Daily (adjusted data)
Strategy type: Long-only
Backtest period: ETF inception to 06/05/2022
The commission per share: $0.01
Position size: Fully invested
Position entry and exit: Open of next bar
SPY ETF Yearly Performance
Equity Curve, Performance Metrics, and Comparison to Buy and Hold
QQQ ETF Yearly Performance
Equity Curve, Performance Metrics, and Comparison to Buy and Hold
IWM ETF Yearly Performance
Equity Curve, Performance Metrics, and Comparison to Buy and Hold
Backtest Details for Dow 30
Strategy: Dow 30 mean-reversion based on PSI5 algo
Time-frame: Daily (adjusted data)
Strategy type: Mean-reversion, long-only
Backtest period: SPY ETF inception to 06/05/2022
Bear market filter: None (all signals taken even during corrections)
Universe: Dow 30 stocks (any delistings handled in backtesting with Norgate Data)
Maximum open positions: 30
The commission per share: $0.005
Position size per stock: Available equity/30
Trade entry: Open of next bar (no look-ahead bias)
Stop-loss: None
Dow 30 Yearly Performance
Equity Curve, Performance Metrics, and Comparison to Buy and Hold
The PSI5 algo rules are available for sale. Click here for more details.
