Mean Reversion Discovery | Short Backtest
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About
A high-risk trading system that usually sits in short-term Treasuries, buys leveraged tech after sharp dips, and buys a volatility fund after overheated market surges.
How it worksThe strategy first asks: is the overall U.S. stock market healthy? It checks whether SPY (a fund tracking the S&P 500) is above its 200-day average price.
If yes, it looks for short-term extremes. If tech stocks (QQQ) have fallen hard recently, it buys TECL, a very aggressive fund that rises with big U.S. tech stocks. If the market has risen too fast, it buys UVXY, a fund that tends to jump when fear suddenly hits markets. If neither extreme is present, it parks in SHV, a cash-like short Treasury fund.
If the market is unhealthy, it becomes stricter: it only buys TECL after an even deeper tech selloff; otherwise it stays in SHV.
Value propOut-of-sample edge: ~25.3% annualized return vs SPY ~17.9%, powered by tactical tech exposure and volatility bets. Yes, drawdowns are larger (~41% vs ~19%), so only for risk-tolerant investors seeking higher long-run growth.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.49 | 0.72 | 0.09 | 0.3 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 747.3% | 15.25% | -5.4% | -4.54% | 0.93 | |
| 265,682.42% | 68.81% | -22.19% | -16.2% | 1.51 |
Initial Investment
$10,000.00
Final Value
$26,578,242.25Regulatory Fees
$64,954.62
Total Slippage
$606,639.03
Invest in this strategy
OOS Start Date
Apr 11, 2024
Trading Setting
Threshold 3%
Type
Stocks
Category
Mean reversion, tactical asset allocation, leveraged etfs, technology, volatility trading, trend filter, risk-off cash
Tickers in this symphonyThis symphony trades 5 assets in total