Mean Reversion
Systematic equity strategy seeking short-term price dislocations and subsequent reversion while managing long and short exposure. Signals use completed daily bars and simulated entries and exits fill at the next market open.
Backtest period: 2016-07-19 through 2026-08-28 · Starting equity: $100,000
Dashboard updated: 2026-08-28 04:32 PM Pacific Daylight Time
Strategy FAQ
Public overview. Current signals and positions are not shown here.
What is Mean Reversion?
It is a systematic long/short equity strategy designed to trade short-term 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.
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 and short positions can both lose money. Opening gaps, borrow constraints, liquidity, and real fills can differ materially from a backtest.
Equity Curve
Mean Reversion and SPY equity with drawdowns, shown from 2019 through 2026-08-28.
Monthly Returns
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | SPY Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 8.4% | 0.9% | 1.5% | 0.6% | -2.6% | 0.7% | 4.5% | 1.5% | — | — | — | — | 16.1% | 12.8% |
| 2025 | 11.0% | 1.3% | 1.2% | 2.7% | 4.5% | 9.1% | -1.3% | 7.3% | 2.6% | 3.9% | 2.6% | -1.1% | 52.7% | 16.4% |
| 2024 | 3.7% | 4.4% | 4.5% | 4.0% | 4.2% | 3.6% | 2.0% | 11.8% | 1.3% | 5.5% | 3.1% | -6.0% | 50.0% | 23.3% |
| 2023 | 2.8% | -0.4% | 4.5% | -0.3% | 0.3% | 7.2% | 11.6% | -3.1% | 3.7% | 3.6% | 6.7% | 1.8% | 44.5% | 24.3% |
| 2022 | -11.8% | 8.0% | 7.4% | 0.0% | 5.5% | -0.8% | 4.1% | -3.6% | 4.9% | 10.8% | 2.6% | -4.4% | 22.7% | -19.5% |
| 2021 | -3.0% | 0.7% | 4.2% | 7.5% | -3.4% | -5.9% | 1.8% | 5.0% | -1.9% | 5.4% | -5.1% | 4.7% | 8.9% | 27.0% |
| 2020 | -4.5% | 7.3% | 1.7% | 6.1% | 4.3% | 3.6% | 1.2% | -0.6% | 0.4% | 5.6% | 16.5% | 5.1% | 56.2% | 16.2% |
| 2019 | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | -0.6% | 1.7% | -2.8% | 3.4% | 6.4% | -0.4% | 7.5% | 28.8% |
Member Signals
Latest MOO orders, current positions, and recent trades are available to members.