Mean Reversion Strategy

This strategy based on stocks of S&P 500 Index. The characteristics are:

  • mean reversion approach;
  • long and short trades;
  • beta-neutral;
  • no leveraged;
  • returns reinvested.

The algorithm strongly outperforms the market over 14 years. Commission and slippage included. This strategy had a low drawdown even in crisis of 2007-2009 years.

Backtesting

Initial capital = $10 000 project name
Initial capital = $100 000 project name