Mean Reversion
Systematic equity strategy seeking temporary price dislocations and subsequent reversion. Signals use completed daily bars, and simulated entries and exits fill at the next market open.
The model holds up to five positions, targets 20% of strategy equity per position, and does not use correlation clustering.
Strategy results include transaction costs of 5 bps (0.05%) on each purchase and each sale, including initial purchases. Open positions are not liquidated solely at the end of the backtest.
Backtest period: 2016-07-19 through 2026-10-13 · Starting equity: $100,000
Dashboard updated: 2026-10-13 02:30 PM Pacific Daylight Time
Strategy FAQ
Public overview. Current signals and positions are not shown here.
What is Mean Reversion?
It is a systematic equity strategy designed to trade temporary price dislocations and subsequent reversals.
When are signals executed in the backtest?
Signals use completed daily bars and simulated entries and exits fill at the next market open.
How is the model portfolio constructed?
The model can hold up to five positions. It uses equal target sizing of approximately 20% of strategy equity per position and does not use correlation clustering.
Why might there be no order on a trading day?
No position may have met an exit rule and available portfolio slots may already be full. A new data date does not require a new trade.
What are the main risks?
Long positions can lose money, and a five-position portfolio can be concentrated. Opening gaps, liquidity, and real fills can differ materially from a backtest.
Equity Curve
Mean Reversion and SPY equity with drawdowns, shown from 2019 through 2026-10-13.
Monthly Returns
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | SPY Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 6.8% | 1.2% | -0.7% | 4.8% | -1.5% | 2.1% | 1.8% | 4.7% | -5.6% | 1.0% | — | — | 15.1% | 14.1% |
| 2025 | 10.7% | 0.0% | -2.7% | 4.2% | -2.8% | 0.7% | 3.3% | -1.3% | 2.3% | -1.3% | 0.3% | 1.0% | 14.4% | 16.4% |
| 2024 | 4.2% | 3.3% | 4.6% | 2.5% | 5.8% | -0.9% | 1.7% | 15.5% | 3.2% | 0.5% | 4.3% | -6.8% | 43.3% | 23.3% |
| 2023 | 10.5% | 3.7% | 9.0% | 4.7% | 0.9% | 10.9% | 13.4% | -4.6% | 5.6% | 5.5% | 9.4% | 6.2% | 105.0% | 24.3% |
| 2022 | -15.3% | 7.6% | 6.8% | -4.2% | 7.5% | -2.2% | -0.3% | -1.7% | -3.8% | 18.6% | 7.5% | -0.8% | 16.6% | -19.5% |
| 2021 | -0.7% | 2.3% | 3.6% | 6.9% | -5.6% | -1.9% | 0.5% | 5.9% | -3.0% | 9.0% | -6.9% | 9.5% | 19.3% | 27.0% |
| 2020 | -3.3% | 2.6% | 6.3% | 6.2% | 3.9% | 3.7% | 8.5% | 6.3% | -1.6% | 8.8% | 23.4% | -0.6% | 82.8% | 16.2% |
| 2019 | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | -1.6% | 0.1% | -5.1% | 4.9% | 8.2% | 0.3% | 6.4% | 28.8% |
Member Signals
Next-session MOO orders, current positions, and recent trades are available to members.