Q5. Face The train (SPY) Performance Analysis

Mar 06, 2021

This is another mean reversion system which performed the best(SPY index) in the basic course beating the SPY both in net profit and in drawdowns. It gave a net Profit of 1301% with drawdown of just -14% as compared to buy and hold of SPY at 708% and -56%. From a coding perspective it was bit challenging but it was super effective. Just as the other mean reversion system, this too performed exceptionally well during the global financial crisis. The examples of both show how important it is to have a diversification of strategies when it comes to creating trading strategies, as there are strategies that do make money during recessionary times and having this in your arsenal really gives you could returns year after year.