Trading Strategies For Retail Traders
Please note: The strategies listed in this section were not coded or disclosed in a social trading platform. The strategies are proprietary and were not data mined but instead based on sound hypotheses about price action behavior and formation of anomalies in short-term timeframe. Note that all performance results are based on backtests.
|MR5||SPY (UPRO)||Daily||Long-only Mean-reversion|
The MR5 mean-reversion strategy is based on a formula from a graduate text on probability and stochastic processes. The strategy signals are offered as part of the Mean-reversion signal service or separately. For a sample report click here.
Performance from January 3, 2017 to December 29, 2017
|Strategy||Net Return*||Max. DD||Win rate||Trades|
|MR5 (in SPY)||+10.3%||-1.3%||94.1%||17|
|MR5 (in UPRO)||+32.6%||-3.8%||94.1%||17|
*Performance is net of $0.01 per share commission with no leverage and it is not annualized.
2017 performance in SPY and UPRO: 01/03/2017 – 12/29/2017
Below is the backtested performance for of the MR5 strategy in SPY and UPRO from inception of the ETFs to 12/29/2017. All backtests are based on fully invested equity and commission of $0.01 per share.
|Avg. Bars in trades||6.2||5.9||–|
The MR5 strategy has been profitable every year in UPRO since the ETF inception in 2009. In SPY the strategy has had only two consecutive down years in 2001 and 2002 with a combined loss of about -3.6%. Since 2003 the strategy is on a 15-year win streak. A profit table is included below.
While some strategy and signal vendors present validation results based on highly correlated securities, we instead validate our trading strategies on comparable and anti-correlated securities. In most cases over-fitted and random systems work well with highly correlated securities and that does not amount to a proper validation method. Below is the performance of the MR5 strategy in TLT ETF since inception and the 252-day correlation of SPY and TLT.
Although the average 252-day correlation between SPY and TLT since inception of the latter is -0.34, the MR5 strategy outperforms TLT buy and hold on a risk-adjusted MAR basis.
Warning: Mean-reversion trading carries high risk since there are no stops. Most traders allocate to it only a small percentage of available capital in the range of 5% to 10% and some leverage it accordingly. Please read the disclaimer below.
Disclaimer: The strategies are provided as educational trading tools for informational purposes only and do not constitute investment advice. We do not warrant the accuracy, completeness, fitness or timeliness for any particular purposes of any strategy. Under no circumstances the strategies should be treated as financial advice. Note that performance results are based on backtests. Before subscribing please read our Disclaimer and Terms and Conditions.
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