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Performance of Twelve Trend-following and Mean-Reversion Strategies in 2019

In this article we review 2019 performance results for 12 trend-following and mean reversion strategies applied to SPY.

Eight trend-following strategies are listed below.

Rules Timeframe Name
Long: SMA(50) > SMA(200)
Exit: SMA(50) < SMA(200)
Daily 50D200L
Long : SMA(50) > SMA(200)
Short: SMA(50) < SMA(200)
Daily 50D200LS
Long: C > SMA(200)
Exit:  C < SMA(200)
Dally 1D200L
Long:  C > SMA(200)
Short: C < SMA(200)
Daily 1D200LS
Long: C > SMA(12)
Exit:  C < SMA(12)
Monthly 1M12L
Long:  C > SMA(12)
Short: C < SMA(12)
Monthly 1M12LS
Long: AMAV > SMA(200)
Exit:   AMAV < SMA(200)
Daily AMAVL*
Long:  AMAV > SMA(200)
Short: AMAV < SMA(200)
Daily AMAVLS*

*Proprietary volatility adaptive moving average. Click here for more details

Three mean-reversion strategies are listed below.

Rules Timeframe Name
Long: RSI(2) < 10
Exit:  RSI(2) > 70
Daily RSI2L
Long : (C-L)/(H-L) < 0.2
Exit:    (C-L)/(H-L) > 0.8
Daily IBSL
Long: PSI5*
Exit:   PSI5
Dally PSI5L

*Proprietary mean-reversion algo. Click here for more details.

All positions are established at the open of the next bar. Equity is fully invested with $0.01 commission per share used in all backtests. Backtest period is from 01/02/2019 to 12/27/2019.

Results for 2019

Strategy Return Max. Drawdown
50D200L +16.5% -11%
50D200SL +3.0% -34%
1D200L +15.0% -14%
1D200SL +0.6% -23%
1M12L +6.6% -20%
1M12LS** -15.9% -39%
AMAVL +18.5% -10%
AMAVLS +2.9% -18%
RSI2L -0.8% -5%
IBSL +12.7% -4%
PSI5L +16.5% -7%
AMAVLPSI5* +25.8% -7%

*Extra strategy combining volatility adaptive trend-following and mean-reversion. Click here for more details. 
**Edit on 12/29/2019: Correct return is -15.9%, not -18.5%. 

From the trend-following strategies, 50/200 long-only cross performed relatively well. Our volatility adaptive moving average gained the most with 18.5% return. Long-short strategies underperformed with the monthly 1M12LS getting hit with a big loss.

From the mean reversion strategies, IBSL performed well given scarcity of mean-reversion signals this year. Our PSI5 algo gained the most with 16.5% return. RSI2 was unable to perform due to lack of signals and maybe due to popularity.

The combined volatility adaptive moving average plus PSI mean-reversion generated 25.8% return and that came closest to the 31.6% total return of SPY.


Charting and backtesting program: Amibroker

Data provider: Norgate Data

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