MR-05 · Mean Reversion

CCI Mean Reversion

Uses Commodity Channel Index to identify oversold conditions. Enters long when CCI falls below -100 (oversold) and exits when CCI returns to neutral (0). Includes max holding period and extreme stop.

Mean ReversionOscillator

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At a glance

Best onRange-bound commodities and indices

Signal frequencyDaily

Typical holding periodDays

Asset classesIndex, Commodity, FX

Markets tested10

Data through2026-11-10

What the backtest shows

Beat buy-and-hold on 3 of 10 markets by annual return over 5 years.
Had a smaller maximum drawdown than buy-and-hold on 10 of 10 markets.
Best market by Sharpe ratio: USO (Sharpe 1.36, CAGR 26.5%).
Weakest market: EURUSD=X (Sharpe -0.27, CAGR -1.3%).

Equity curve

CCI Mean Reversion Buy & hold · SPY, 2010-01-04 → 2026-11-10, growth of 1

Score and risk profile

Arena Score: 50.8SPY, 5 years

Return quality · 30%34

Drawdown control · 25%47

Consistency · 20%62

Robustness · 15%55

Significance · 10%83

Each bar is a percentile against every strategy on the same market and window (100 = best).

Time in market24%

Ulcer index5.6%

Longest drawdown832 days

Daily VaR (95%)-1.06%

Probability Sharpe > 083%

Beta vs buy & hold0.39

Alpha (annual)-0.3%

Positive months45%

CAGR after 10 bp costs1.9%

Deflated Sharpe (luck-adjusted)30%

CAGR, 90% bootstrap range-2.2% to 10.6%

Max drawdown, 90% bootstrap range-26.6% to -9.6%

How it held up in sell-offs (SPY)

Period	Strategy	Buy & hold
Q4 2018 sell-off	-9.2%	-19.2%
COVID crash (Feb–Mar 2020)	-35.4%	-33.7%
2022 bear market	-11.5%	-24.5%
Market above its 200-day average (annualized) · 81%	+4.0%	+12.5%
Market below its 200-day average (annualized) · 19%	-0.8%	+19.8%

Sell-off dates follow the US stock market. Above/below the 200-day average uses the previous day's position, so there is no look-ahead.

Out-of-sample check (SPY)

Check	Value
Chosen parameters on their 3-year training windows (average Sharpe)	0.57
Same parameters in the following 6 months, when traded (Sharpe)	0.37
Default parameters over the same months (Sharpe)	0.37
Parameter re-selections / changes	28 / 10
Parameter settings with a positive Sharpe (full history)	9 of 9
Sharpe across settings: worst / median / best	0.26 / 0.34 / 0.42

Out-of-sample periods start on 2013-01-04. Training-window figures are flattered by picking the best of 9 settings; the out-of-sample figure is what the strategy actually earned. A large drop, or a result that depends on one setting, points to overfitting. How walk-forward testing works.

Results by market (5 years)

Market	CAGR	Buy & hold CAGR	Sharpe	Max drawdown	Buy & hold max DD	Volatility	Arena Score
USOUnited States Oil Fund	26.5%	20.2%	1.36	-19.0%	-36.2%	18.7%	87
GLDSPDR Gold Shares	4.5%	16.4%	0.52	-17.0%	-28.3%	9.2%	48
DBCInvesco DB Commodity Index	4.5%	10.8%	0.49	-11.7%	-27.3%	10.1%	68
SPYSPDR S&P 500	4.1%	11.6%	0.43	-16.2%	-24.5%	10.9%	51
DBAInvesco DB Agriculture	2.8%	8.8%	0.42	-9.3%	-15.9%	7.4%	55
BTC-USDBitcoin	-1.0%	2.6%	0.10	-50.6%	-75.9%	25.9%	43
ETH-USDEthereum	-9.7%	-15.1%	-0.02	-60.9%	-79.0%	35.4%	39
SLViShares Silver Trust	-2.3%	15.2%	-0.02	-30.2%	-57.8%	19.1%	30
UNGUnited States Natural Gas	-11.0%	-30.7%	-0.14	-62.1%	-93.3%	37.0%	57
EURUSD=XEUR/USD	-1.3%	-0.7%	-0.27	-8.0%	-17.2%	4.2%	29

Strategy metrics use daily returns without trading costs. Buy-and-hold figures are for the same market and window. Rows are sorted by Sharpe ratio.

SPY across time windows

Window	Total return	CAGR	Sharpe	Sortino	Max DD	Win days	Trades
1 year	+13.3%	13.3%	1.36	0.88	-8.3%	15%	27
3 years	+18.7%	5.9%	0.67	0.37	-11.8%	11%	59
5 years	+22.5%	4.1%	0.43	0.30	-16.2%	13%	111
Full history	+67.3%	3.1%	0.32	0.18	-36.3%	12%	371

Rules

Entry

Buy when CCI < -100 (oversold)

Exit

Exit when CCI >= 0
Or max holding period reached
Or CCI < -200 (extreme stop)

Indicators

Typical Price = (H+L+C)/3
CCI = (TP - SMA) / (0.015 * Mean Deviation)

Inputs

Period = 20
Oversold = -100
Exit_Level = 0
Max_Hold = 15

Position sizing

Fixed 100% allocation

Risk controls

Stop at CCI < -200
Max hold 15 days

Strategy evidence

Only available, validated bundles appear below. Missing evidence is not a passing validation result.

Evidence coverage

10 / 10 declared strategy–market pairs validated

Notes

Donald Lambert's 1980 indicator
Constant 0.015 ensures ~70-80% of CCI values fall within [-100, +100]
Works best in sideways markets

Related strategies

MR-01 · SPY 5Y Sharpe 0.77RSI Mean Reversion MR-10 · SPY 5Y Sharpe 0.66Stochastic Oscillator Reversion MR-11 · SPY 5Y Sharpe 0.17Williams %R Reversion MR-12 · SPY 5Y Sharpe 0.43Money Flow Index Reversion MR-13 · SPY 5Y Sharpe 0.00TRIX Reversion MR-14 · SPY 5Y Sharpe 0.14Detrended Price Oscillator

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Backtests are historical simulations on daily data and do not include commissions or slippage. They do not guarantee future results and are not investment advice. See the methodology for how every strategy is tested.