SPY Mean-Reversion Strategies Down 6.6% Year-To-Date

Both MR1 and MR5 strategies for SPY mean-reversion are down this year 6.6% after a profitable 2017. The drawdown is within expected levels. There are some similarities with 2011 when despite drawdown levels in excess of 14% the strategies were up for the year with MR5% gaining more than 22%.

The backtest results below are from 01/03/2007 to 02/05/2018 and include $0.01 per share commission. Equity, underwater equity and monthly returns charts are included.

MR5 strategy (Click on images to enlarge)

From the underwater equity curve it may be seen that the current drawdown of about 6.7% is within historical levels.  Note that in 2011 the  drawdown of the MR5 strategy was about 14% but the return for the year was in excess of 22%. Actually, 2011 was the best year since 2007.

MR1 strategy (Click on images to enlarge)

From the underwater equity curve it may be seen that current drawdown of about 6.7% is also within historical levels.  Note that in 2011 the drawdown of the MR1 strategy was about 17% but it finished the year up a little more than 3%.

If there will be any deviations from historical levels the strategies will be placed in quarantine mode and either updated or replaced.

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Charting and backtesting program: Amibroker

Disclaimer

Quantitative analysis of Dow-30 stocks and 30 popular ETFs is included in our WeeklyPremium Report. Market signals for longer-term traders are offered by our premium Market Signals service. Mean-reversion signals for short-term SPY traders are provided in our Mean Reversion report.

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