Q3. Counter Punch (SPY) Performance Analysis

Mar 04, 2021

This is our first heads up approach in understanding mean reversion system. Mean reversion systems are generally highly profitable. The world best performing fund ever Renaissance Technologies trade a mean reversion system. The system we created showed great returns even during the global financial crisis year of 2008 as seen in the yearly results below. It didn't beat the SPY in Net profit but still came close at 689% as compared to 708% in SPY but with respect to drawdowns it did beat the SPY. The drawdowns in the strategy was just -15% as compared to -56% in SPY. Discussion was done to improve strategy by doing Optimization and also how to avoid curveftting. The walk forward analysis was also done. Advice was also given with regards to a tweak when it comes to testing mean reversion system in walk forward analysis.