The PSI5 mean-reversion strategy has outperformed SPY buy and hold performance since inception.
Our PSI5 mean-reversion strategy is not data-mined but based on a formula from a text in probability theory. The strategy has been also effective in trading portfolios of large cap stocks in both daily and weekly timeframes.
PSI5 strategy in SPY ETF
Time-frame: Daily (adjusted data)
Strategy type: Long-only
Market: SPY ETF
Backtest period: 01/04/1993 – 12/17/2019
Commission per share: $0.01
Position size: Fully invested
Position entry and exit: Open of next bar
|Parameter||Strategy||Buy and Hold|
|Avg. bars in trades||3.9||–|
The strategy has outperformed buy and hold on both absolute and risk-adjusted basis.
Equity curve with monthly returns table
The strategy has recovered in 2019 from the 2018 drawdown. Note that in 2008 and 2011 the strategy had positive performance.
Charting and backtesting program: Amibroker
Data provider: Norgate Data
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