Live trading performance of my mean reversion test account.
Mean Reversion Live
I still develop and test algorithms. The algorithms shown here are a portfolio of mean reverting algorithms under development. They’ve been live tested for 2021, and now publicly tested for all of 2022. All the data from this portfolio is publicly available by clicking the link below.
Monthly performance
Strategy Analysis
Account Overview
Account Statistics
Maybe we should only mean revert on Wednesdays and Thursdays?
This is one reason why I haven’t been able to trade many mean reverting systems long term. This distribution shows the negatively skewed nature of mean reverting systems.
Each Magic number represents a different strategy. There are some gems (#105 and #111) in the portfolio, and there are some really terrible systems (#103 and #104). Let’s see how they end the year.
#100 took the most amount of trades, and doesn’t have much to show for it. Not good.
At the end of the year I will review the portfolio performance on the podcast.
