Last Updated: 05/10/09
This mean-reversion strategy holds up to 2 ETFs from a portfolio of about 70 different ETFs. This system trades an average of every 2 days and seeks to exploit short term overselling of individual ETFs.
I generally augment this strategy by buying in-the-money options for the position rather than stock but it works well just with stocks and can be used with moderate leverage due to the short holding period.
Current holding: Changes frequently – please check the blog.
List of trades (CSV)
Equity Curve/Monthly Returns (Click to enlarge):
System Statistics:
| Net Profit % | 1250.93% |
| Exposure % | 56.70% |
| Net Risk Adjusted Return % | 2206.06% |
| Annual Return % | 13.29% |
| Risk Adjusted Return % | 23.44% |
| All trades | 1523 |
| Avg. Profit/Loss | 82.14 |
| Avg. Profit/Loss % | 0.38% |
| Avg. Bars Held | 4.92 |
| Winners | 971 (63.76 %) |
| Total Profit | 429125.4 |
| Avg. Profit | 441.94 |
| Avg. Profit % | 1.92% |
| Avg. Bars Held | 4.03 |
| Max. Consecutive | 15 |
| Largest win | 7534.8 |
| # bars in largest win | 4 |
| Losers | 552 (36.24 %) |
| Total Loss | -304032.2 |
| Avg. Loss | -550.78 |
| Avg. Loss % | -2.32% |
| Avg. Bars Held | 6.49 |
| Max. Consecutive | 10 |
| Largest loss | -10322.2 |
| # bars in largest loss | 11 |
| Max. trade drawdown | -17614.4 |
| Max. trade % drawdown | -36.51% |
| Max. system drawdown | -50849.8 |
| Max. system % drawdown | -39.05% |
| Recovery Factor | 2.46 |
| CAR/MaxDD | 0.34 |
| RAR/MaxDD | 0.6 |
| Profit Factor | 1.41 |
| Payoff Ratio | 0.8 |
| Standard Error | 18854.1 |
| Risk-Reward Ratio | 0.31 |
| Ulcer Index | 10.34 |
| Ulcer Performance Index | 0.76 |
| Sharpe Ratio of trades | 0.72 |
| K-Ratio | 0.0261 |
| Expectancy ($) | 82.14 |
[...] After days of being quite (due to the rally where it really doesn’t trade much), my MR1 strategy just went long XLF at the open this morning – I did not have a chance to enter the [...]
[...] 2008 by dskills As can be expected on sell-off days, we’ve gotten a second entry on the MR1 system. So, in the morning, I’ll be opening a position in IBB on the open. Not sure if [...]
Hi Damian.
Great work on the blog, I’m an avid reader of quant edges, traderfeed etc and any new additions are always welcome!
In regards to the amiboker chart that you posted for the MR1 system, is it possible to send me the ami code for the P+L table at the bottom? I’ve been looking everywhere for this type of output . . .
Thanks and keep up the great work!
Thanks for the complements! Here’s a link to the code:
http://www.amibroker.com/kb/2007/10/11/low-level-gfx-example-yearlymonthly-profit-chart/
I wish this was built into the software!
Damian…
Great work…
I just bought AmiBroker largely due to you success…
Is MR1 based on ATR, StDev or MA differences ?
Just curious…
Pax
Pax – I haven’t as yet revealed the strategy – but I will say that I use an ATR-based stop – but not StDev or MA differences. Let me know if I can be more helpful in getting you up to speed on AB – it’s a great tool but like all backtesting tools requires some work. You can write to me directly via the email on the About page.
[...] enough excuses – you’ll find the individual strategies pages (MOMO1, TREND1, MR1) have updated equity curves, statistics and current holdings. As was true of my last update – all [...]
[...] the results…again, pretty disappointing. MR1 did well in September, but this has been followed by an equally disastrous beginning in October – [...]
[...] the results…again, pretty disappointing. The final numbers for MR1 for September were up 11.4%, and for October a meager 0.8%. MOMO1 and TREND1 continue their [...]
[...] has finished up with MR1 basically flat, while MOMO1 and TREND1 seem to have finally caught onto to something – namely bonds [...]
[...] MR1 continues to perform the best of the strategies – not surprising given the current market conditions that clearly favor mean-reversion over trend or momentum. [...]
[...] MR1 was the bigger winner in January and it is the big loser here in February. Stats are below. [...]
[...] MR1 was the bigger winner in March. Stats are below. Disappointing is that all the strategies significantly underperformed the market – I’m not really shocked at this given the huge change in trend during the past month – but it is disappointing nevertheless. [...]
[...] MR1 was the bigger winner in April. Stats are below. Disappointing is that all the strategies significantly underperformed the market – I’m not really shocked at this given the huge change in trend during the past month – but it is disappointing nevertheless. [...]