Strategy category
Mean Reversion strategies
Strategies that fade stretched moves and bet on a return toward a recent average. 16 strategies, each backtested on up to 10 markets with the same rules. Figures below are for each strategy's main market over the last five years.
Filter in the strategy library| Strategy | Main market | 5Y CAGR | 5Y Sharpe | 5Y Max DD |
|---|---|---|---|---|
| MR-02 Bollinger Band ReversionBuy at lower band, exit at middle band with bandwidth filter. | SPY | 3.1% | 0.39 | -9.0% |
| MR-05 CCI Mean ReversionBuy oversold CCI readings, exit at neutral. | SPY | 4.1% | 0.43 | -16.2% |
| STAT-11 Cointegration BasketTrade mean-reverting spread across multiple assets. | SPY | -0.2% | -0.06 | -6.4% |
| MR-16 Connors RSIComposite RSI using price, streak, and rank. | SPY | 7.9% | 1.03 | -7.6% |
| MR-14 Detrended Price OscillatorMean reversion using a detrended price oscillator. | SPY | 0.7% | 0.14 | -7.5% |
| MR-07 Hurst-Filtered Mean ReversionMean reversion only when Hurst exponent indicates mean-reverting regime. | SPY | 2.2% | 0.37 | -10.7% |
| MR-03 Kalman Filter Mean ReversionTrade deviations from Kalman-estimated fair value. | SPY | 2.1% | 0.25 | -12.1% |
| MR-12 Money Flow Index ReversionBuy oversold MFI, exit at neutral. | SPY | 3.9% | 0.43 | -12.9% |
| MR-04 Ornstein-Uhlenbeck Mean ReversionTrade based on OU process parameter estimation and half-life. | SPY | 1.1% | 0.24 | -6.5% |
| MR-01 RSI Mean ReversionBuy oversold and fade overbought with a volatility cap. | SPY | 5.2% | 0.77 | -7.2% |
| MR-10 Stochastic Oscillator ReversionBuy oversold stochastic, exit at neutral. | SPY | 7.7% | 0.66 | -15.8% |
| COMBO-04 Trend + Mean Reversion HybridFollow trend, buy pullbacks. | SPY | 2.0% | 0.38 | -8.8% |
| MR-13 TRIX ReversionBuy deep TRIX pullbacks and exit on mean reversion. | SPY | 0.0% | 0.00 | 0.0% |
| MR-15 Ultimate OscillatorBuy oversold Ultimate Oscillator, exit at neutral. | SPY | 6.2% | 0.70 | -11.8% |
| MR-11 Williams %R ReversionBuy oversold Williams %R, exit at neutral. | SPY | 1.4% | 0.17 | -20.4% |
| MR-06 Z-Score Mean ReversionSimple z-score reversion with volatility and trend filters. | SPY | 7.7% | 0.86 | -10.4% |