Mean Reversion Strategy

This strategy based on switching regime approach based on index volatility. The characteristics are:

  • trade the different class of assets depending on current market condition and volatility of assets (market indices, bonds, commodity);
  • long-only trades;
  • positive alpha;
  • returns reinvested.

The algorithm strongly outperforms the market over 10 years. Commission and slippage included.

Benchmark

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Drawdowns

Drawdowns are moderate and distributed evenly over 10 years.

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Returns analysis

Average annualized returns are positive every year even in recessions.

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