RealTest Strategies / RealTest All-Time-High Mean-Reversion Strategy

RealTest All-Time-High Mean-Reversion Strategy

A mean-reversion strategy targeting Russell 3000 stocks that pull back after making new all-time highs. The logic waits for a defined retracement from the high before entering, combining trend confirmation with oversold entry conditions. Backtested since 2000 with Norgate survivorship-bias-free data and validated out-of-sample.

Beating SPY
Loading...
Live Market Performing
Performs in live market conditions since 2024-05-07
Premium

Strategy Overview

Pullback-From-Highs Logic

Stocks making new all-time highs are, by definition, in strong uptrends. However, the initial breakout often triggers profit-taking and late-entry shakeouts, creating a short-term pullback. This strategy waits for a defined retracement from the all-time high before entering, combining the trend confirmation of a new high with the improved risk/reward of an oversold entry. The Russell 3000 universe provides a broad selection of candidates across market capitalizations.

Russell 3000 Universe

The broader Russell 3000 universe offers more trading opportunities than the S&P 500 but with greater variance in liquidity and volatility. The strategy includes a liquidity filter to ensure that backtested fills are achievable in live trading. A limit order buffer is built into the entry logic to model realistic execution in faster-moving mid-cap and small-cap names.

Robustness Considerations

The strategy uses a small number of parameters to reduce the risk of overfitting. It has been backtested since 2000 using Norgate survivorship-bias-free data, which includes delisted stocks, to avoid survivorship bias in the Russell 3000. Walk-forward analysis and Monte Carlo simulation results are available on the product page to assess out-of-sample stability.

What You Get

RealTest by MHP Trading logo
RealTest Strategy Code (.rts)
Complete RealTest (.rts) strategy code. Import, backtest, and modify.
Trading strategy rules plain text document
Plain Text Rules
Full strategy logic in plain text. Clear rules for implementation on any trading platform.

Advanced Backtest Insights

Statistical Edge Verification

Science, governed by mathematics

RealTest trading software logo

Quick start guide

From download to first backtest in 1 minutes

OrderClerk automated trading execution interface

Daily Live Trading

For RealTest automated execution

Total daily time: ~5 minutes

Get OrderClerk automation course →

Strategy Details

Model assumptions

Included in Backtest

Commission$0.005 / Share
Limit Price Buffer0.1% Past Limit

SPY Buy & Hold Benchmark

Does not include any transaction fees, slippage, or management costs.

Portfolio Builder & Simulator

Visualize your diversification edge

Instantly simulate how this strategy improves your existing portfolio. Check correlations, optimize allocations, and verify the smoothed equity curve before you deploy.

Generate Correlation Matrix
Optimize Capital Allocation
Simulate Combined Metrics
Visual Performance Comparison
Open Strategy Combiner →

Strategy Code Preview

RealTest full source code included in download

RealTest All-Time-High Mean-Reversion Strategy RealTest code structure

Pick Your Strategy Below

Demo Strategy

$ 0 one-time

Free RealTest demo mean reversion strategy.

  • RealTest .rts file
  • Robustness Verified
  • Does not include RealTest All-Time-High Mean-Reversion Strategy
RealTest Users' Favorite

RealTest All-Time-High Mean-Reversion Strategy

$ 899 one-time

Full strategy code and rules.

  • ...% Portfolio Growth
  • In-Sample / Out-of-Sample Validated
  • Survivor-Bias Free
  • Outperforms SPY Benchmark
  • Fully Customizable Source Code
  • Download Once, Use Forever

Multi-Strategies Bundle

$ 2,700 one-time

Instant diversification. You own our complete suite of uncorrelated, robust strategies.

Easy To Use

Download strategy, open RealTest, click "import" and "test".

You may also like

Common Questions

A mean-reversion strategy targeting Russell 3000 stocks that pull back after making new all-time highs. The logic waits for a defined retracement from the high before entering, combining trend confirmation with oversold entry conditions. Backtested since 2000 with Norgate survivorship-bias-free data and validated out-of-sample.
RealTest by Martin Parker (MHP Trading). Strategies are delivered as .rts files for direct import. For live execution: OrderClerk + Interactive Brokers.
Survivorship-bias-free data from Norgate (January 2000 to present). Walk Forward Analysis for out-of-sample validation. 1000+ Monte Carlo simulations for statistical robustness. No cherry-picked parameters.
Interactive Brokers tiered commission structure is modeled. Limit order buffer: 0.1% Past Limit.
2024-05-07. The equity curve shows both backtest (from 2000) and real performance afterward.
RealTest .rts file (complete source). Plain-text trading rules. Full documentation with parameter explanations.
The equity curve above plots RealTest All-Time-High Mean-Reversion Strategy against SPY (S&P 500 ETF) from 2000. Key metrics: CAGR, Maximum Drawdown, Sharpe, Sortino.
Complete source code, perpetual license. Modify parameters, adjust position sizing, combine with other systems, or use as a starting point for your own research. No restrictions.
Norgate Data (recommended) for survivorship-bias-free US equities. Yahoo Finance works for basic testing but lacks delisted stocks. The backtest results shown here use Norgate Platinum.
RealTest to OrderClerk to Interactive Brokers. Generate signals daily in RealTest, execute automatically via OrderClerk to IBKR. Free setup course available.