Q8. Stable mean revert (Stocks)Mar 06, 2021
This is the first of our mean reversion systems that we do in our stocks. This system had tremendous returns and was tested thoroughly during the dotcom bubble, global financial crisis and the pandemic. We also discussed how to chose our universe of stocks when it comes to mean reversion systems and how different it is as compared to trend following systems. We did 24000+ trades in this system which is a record in all our strategies. The amount of trades really show how effective the analysis of the results are. This gave us a really good sample data to perform Monte Carlo test to randomly sequence trades which gave great results as well. The Net profit was 1370% with drawdown of just -23% for tests since 1994 as compared to 708% with draw down of -56% in SPY.