Reversion to the Mean
- hypothetical · Annual Return (Compounded)
- -3.4%
- Max Drawdown
- 33.8%
- Trades
- 112
- Win Trades
- 73.2%
- Profit Factor
- 0.90
- Win Months
- 3.8%
About this strategy
Reversion to the Mean trades forex and e-mini futures off daily charts based on purely mechanical signals. It is a swing-trading system that trades infrequently for each symbol, with trades normally lasting a few days. Stop losses are set to no more than 3 x daily Average True Range. This acts as more of a "catastrophic" stop loss than a money management technique. Limit orders are used for entry. Market Orders are used when exit criteria are met. Discretionary exits are occasionally taken. Discretionary entries are never taken.
The current trading strategy was initiated the week of May 14, 2007 after reviewing problems with initial systems drawdown.
This system may also occasionally take concurrent trades based on the signals of its sister system, Counter Intuitiive Activiity_Test...
Stop losses on these daily positions are based on ATR and can be as high as 3 ATR. This can be a substantial loss if volatility is high. Awareness of the potential for fairly large losses on individual trades is needed. Those trades taken concurrently with the CIA_Test sister system have all the risks of that system as well. Substantial drawdowns may be expected to occur during the system lifetime.
The current trading strategy was initiated the week of May 14, 2007 after reviewing problems with initial systems drawdown.
This system may also occasionally take concurrent trades based on the signals of its sister system, Counter Intuitiive Activiity_Test...
Stop losses on these daily positions are based on ATR and can be as high as 3 ATR. This can be a substantial loss if volatility is high. Awareness of the potential for fairly large losses on individual trades is needed. Those trades taken concurrently with the CIA_Test sister system have all the risks of that system as well. Substantial drawdowns may be expected to occur during the system lifetime.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | 1.7 | 1.7 | |||||||||||
| 2007 | 10.3 | -26.4 | -9.9 | 0.5 | 6.4 | 12.6 | 5.3 | 3.5 | 3.0 | -20.6 | 5.5 | -0.0 | -17.3 |
| 2008 | 0.0 | 0.0 | -0.0 | 0.0 | -1.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -1.1 |
| 2009 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | 0.0 | 0.0 | -0.0 |
| 2010 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2011 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2012 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2013 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2014 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2016 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 12/3/2006 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 241 months |
| What it trades | Futures, Forex |
| # Trades | 112 |
| # Profitable | 82 |
| % Profitable | 73.2% |
| Avg trade duration | 1.7 days |
| Max peak-to-valley drawdown | 33.8% |
| drawdown period | Feb 22, 2007 - April 16, 2007 |
| Annual return (compounded) | -0.6% |
| Avg win | $790 |
| Avg loss | $2,511 |
Ratios
| W:L ratio | 0.86 |
|---|---|
| Sharpe Ratio | -0.31 |
| Sortino Ratio | -0.36 |
| Calmar Ratio | -0.06 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.02 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 446.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -33.0% |
Return Statistics
| Ann Return (w trading costs) | -3.4% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -0.6% |
Slump
| Current Slump as Pcnt Equity | 38.3% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 0.4% |
|---|---|
| Percent Trades Futures | 0.6% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $2,510 |
|---|---|
| Avg Win | $790 |
| # Winners | 82 |
| Sum Trade PL (losers) | $75,315 |
| Sum Trade PL (winners) | $64,782 |
| Num Months Winners | 13 |
| # Losers | 30 |
| % Winners | 73.2% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 238 |
|---|
Frequency
| Avg Position Time (mins) | 2510.93 |
|---|---|
| Avg Position Time (hrs) | 41.85 |
| Avg Trade Length | 1.70 |
| Last Trade Ago | 6877 |
Regression
| Alpha | -0.01 |
|---|---|
| Beta | 0.01 |
| Treynor Index | -1.16 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.27 |
| MAE:Equity, average, losing trades | 0.04 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -11.45 |
| MAE:PL (avg, all trades) | -0.65 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 87.43 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 38.71 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 1.06 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.37 |
| Hold-and-Hope Ratio | -0.08 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.02 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.03 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 53 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| USD/JPY | short | 100 | Oct 30, 2007 | Nov 9, 2007 | $26 |
| EUR/CHF | long | 100 | Oct 19, 2007 | Oct 19, 2007 | $115 |
| NZD/USD | long | 200 | Oct 18, 2007 | Oct 19, 2007 | $577 |
| USD/CHF | short | 200 | Oct 9, 2007 | Oct 11, 2007 | $302 |
| EUR/GBP | long | 100 | Oct 3, 2007 | Oct 11, 2007 | $494 |
| GBP/JPY | short | 100 | Oct 3, 2007 | Oct 3, 2007 | ($9) |
| EUR/AUD | long | 1600 | Sep 20, 2007 | Oct 3, 2007 | ($20,134) |
| ER2 Z7 | short | 2 | Sep 20, 2007 | Sep 24, 2007 | $1,504 |
| NQ Z7 | long | 1 | Sep 17, 2007 | Sep 18, 2007 | $182 |
| GBP/USD | long | 100 | Sep 17, 2007 | Sep 18, 2007 | $480 |
| USD/CHF | long | 700 | Sep 6, 2007 | Sep 14, 2007 | $1,185 |
| EUR/AUD | long | 100 | Sep 13, 2007 | Sep 14, 2007 | ($193) |
| CHF/JPY | short | 100 | Sep 13, 2007 | Sep 14, 2007 | $1 |
| EUR/JPY | short | 100 | Sep 14, 2007 | Sep 14, 2007 | $6 |
| USD/JPY | short | 100 | Sep 14, 2007 | Sep 14, 2007 | $4 |
| GBP/JPY | short | 100 | Sep 14, 2007 | Sep 14, 2007 | $16 |
| USD/CHF | long | 100 | Sep 6, 2007 | Sep 6, 2007 | ($36) |
| USD/CHF | long | 100 | Sep 5, 2007 | Sep 6, 2007 | $340 |
| USD/CHF | short | 400 | Aug 31, 2007 | Sep 5, 2007 | $1,456 |
| GBP/JPY | short | 100 | Sep 3, 2007 | Sep 3, 2007 | $3 |
| USD/CHF | long | 100 | Aug 31, 2007 | Aug 31, 2007 | ($12) |
| USD/CHF | short | 100 | Aug 31, 2007 | Aug 31, 2007 | $607 |
| USD/CHF | long | 300 | Aug 24, 2007 | Aug 29, 2007 | $158 |
| GBP/USD | long | 800 | Aug 13, 2007 | Aug 23, 2007 | $1,420 |
| GBP/USD | long | 100 | Aug 7, 2007 | Aug 8, 2007 | $1,570 |
| GBP/JPY | long | 200 | Jul 18, 2007 | Jul 20, 2007 | $6 |
| CHF/JPY | long | 200 | Jul 17, 2007 | Jul 17, 2007 | $3 |
| GBP/JPY | long | 200 | Jul 10, 2007 | Jul 11, 2007 | $21 |
| ES U7 | long | 2 | Jun 29, 2007 | Jul 2, 2007 | $1,484 |
| USD/CHF | long | 200 | Jun 27, 2007 | Jun 28, 2007 | $413 |
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.