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PSI5 Algo Performance

Performance of PSI5 mean-reversion algo in Dow 30 stocks and three major ETFs.

Last Update: June 5, 2022

The PSI5 mean-reversion strategy is not a data-mined but based on a formula that models price action from a text in probability theory. The strategy is long-only because it takes advantage of the mean-reversion dynamic in price action for timing the buying of the dips. The only parameter used by the strategy for the mean-reversion lookback period was not changed for any of the backtests below. No bear market filters are used. In fact, the algo has performed well during past bear markets.

PSI5 strategy 

Backtest details for SPY, QQQ and IWM

Time-frame: Daily (adjusted data)
Strategy type: Long-only
Backtest period: ETF inception to 06/05/2022
Commission per share: $0.01
Position size: Fully invested
Position entry and exit: Open of next bar

SPY ETF Yearly Performance

Equity Curve, Performance Metrics, and Comparison to Buy and Hold

QQQ ETF Yearly Performance 

Equity Curve, Performance Metrics, and Comparison to Buy and Hold

IWM ETF Yearly Performance 

Equity Curve, Performance Metrics, and Comparison to Buy and Hold

Backtest Details for Dow 30

Strategy: Dow 30 mean-reversion based on PSI5 algo
Time-frame: Daily (adjusted data)
Strategy type: Mean-reversion, long-only
Backtest period: SPY ETF inception to 06/05/2022
Bear market filter: None (all signals taken even during corrections)
Universe: Dow 30 stocks (any delistings handled in backtesting with Norgate Data)
Maximum open positions: 30
Commission per share: $0.005
Position size per stock: Available equity/30
Trade entry: Open of next bar (no look-ahead bias)
Stop-loss: None

Dow 30 Yearly Performance

Equity Curve, Performance Metrics, and Comparison to Buy and Hold

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