Recruitment of participants Example Of Combining A Trend Following And Mean Reversion Strategy

Strategy 90: Example Of Combining A Trend Following And Mean Reversion Strategy

We mix a long-term trend-following strategy with a short-term mean reversion strategy. The strategy trades at the close (but the result is slightly better if entries and exits are at the next open).

Performance metrics (S&P 500 – SPY):

• No. of trades: 253
• Average unleveraged gain per trade: 1.67% (4.6% for winners and -1.4% for losers)
• Win ratio: 51%
• Profit factor: 3.2
• CAGR: 12.1% (assuming no leverage and including dividends)
• Exposure/time in the market: 79%
• Risk-adjusted return: 15% (CAGR divided by time spent in the market (0.79))
• Max. drawdown: -21%

The equity curve (log scale):