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
$100k grows to $3.0M. SPY only $588k
Steady Growth
Last 4 years profitable streak.
Low Drawdown Period
Strategy remained below 10% drawdown for the last 11.7 months.
Live Market Performing
Performs in live market conditions since 2024-05-07
Premium

Portfolio Growth

+490%

2,881.2%

SPY 488.4%

Sharpe Ratio

+127%

1.09

SPY 0.48

Max Drawdown

+52%

-24.0%

SPY -49.9%

RealTest All-Time-High Mean-Reversion Strategy equity curve vs SPY benchmark $100k$300k$1.0M$3.0M '02'04'06'08'10'12'14'16'18'20'22'24'26
Strategy SPY ETF

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

Stress Test Analysis

Crisis PeriodDatesPortfolioSPY
Dotcom Crash 2000-03-10 → 2002-10-09 25.8% -41.8%
2008 Financial Crisis 2007-10-09 → 2009-03-09 2.1% -49.9%
COVID-19 Crash 2020-02-19 → 2020-03-23 -12.5% -28.7%
2022 Bear Market 2022-01-03 → 2022-10-12 -5.7% -21.3%
2025 Tariffs Crash 2025-02-19 → 2025-04-08 -11.6% -16.3%

Monthly Returns

YearJanFebMarAprMayJunJulAugSepOctNovDecTotalMaxDD
20003.812.6-15.312.710.40.95.29.83.90.20.00.049.4%-24.0%
20010.00.00.00.00.00.00.00.00.00.00.00.00.0%-0.0%
20020.00.00.20.40.00.00.00.00.00.00.00.00.6%-1.1%
20030.00.00.00.22.61.3-0.90.80.88.55.32.322.5%-3.5%
20040.42.92.3-1.73.9-0.8-0.7-0.41.12.01.82.013.3%-5.5%
2005-5.23.66.6-2.9-0.83.10.12.92.1-5.31.51.26.4%-9.2%
20069.9-4.15.21.0-1.0-2.40.3-0.1-0.82.22.21.013.5%-9.0%
20071.4-2.7-2.11.23.32.4-0.62.71.03.7-1.40.19.0%-7.0%
20080.00.00.00.00.40.00.00.00.00.00.00.00.4%-0.1%
20090.00.00.00.00.02.81.32.7-0.3-0.82.80.29.0%-2.2%
2010-1.71.80.60.69.5-2.10.60.20.01.11.01.313.5%-5.3%
20112.52.71.51.93.0-0.3-3.1-2.20.00.10.10.06.0%-9.5%
20121.60.82.61.1-0.52.1-1.90.60.20.30.60.17.7%-5.0%
20131.00.90.50.20.61.81.7-1.32.74.23.31.618.6%-4.3%
2014-1.82.5-0.79.80.61.4-1.93.73.1-12.01.02.47.0%-18.2%
20152.92.25.60.42.01.11.6-1.80.10.01.2-0.615.5%-6.1%
20160.00.00.2-0.81.23.30.20.04.1-0.12.32.513.6%-2.9%
20170.70.90.60.50.12.2-0.03.8-2.26.21.40.115.0%-3.2%
20181.31.80.62.92.7-1.00.96.60.2-4.40.80.012.7%-7.7%
20190.00.22.73.2-1.71.25.11.2-1.44.51.32.420.1%-3.8%
2020-0.1-2.0-5.60.00.62.25.8-5.22.6-0.911.91.29.7%-12.5%
20215.2-3.91.31.54.4-0.01.8-0.41.03.2-0.70.314.2%-21.9%
2022-4.90.90.5-0.3-1.60.00.00.00.00.00.00.1-5.3%-8.1%
20230.12.3-0.71.3-3.14.03.51.0-1.1-1.52.8-0.48.3%-5.2%
20248.08.45.20.41.92.10.80.41.03.59.8-0.149.4%-5.4%
202519.7-7.0-2.8-1.20.50.91.82.55.73.5-4.52.521.2%-18.3%
20266.10.64.32.37.710.9-6.627.0%-7.1%
Avg1.90.90.51.31.71.40.61.10.90.71.70.814.0%-7.6%
MetricPortfolioSPY
Sortino Ratio0.980.46
MAR Ratio0.57-
Net Profit$2.9M$488k
Expectancy1.8-
Trades23961
Win Rate68.82%-
Max Exposure93.98%100.0%
Best Year49.4%27.0%
Worst Year-5.3%-33.2%

Statistical Edge Verification

Science, governed by mathematics

Live Market Performance
Performs in real market conditions since 2024-05-07
Verified
Statistical Validation
Validated across In-Sample & Out-of-Sample data
Passed
Walk Forward Analysis
Tests robustness across unseen data
Passed
Monte Carlo Stress Test
Resilient against 1,000+ sequence risk simulations
Passed
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Quick start guide

From download to first backtest in 1 minutes

1
You download the .rts file
Click Download
2
You open it in RealTest
File → Open → Select file
3
You import symbols
Click Import
4
You run the backtest
Click Test
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Daily Live Trading

For RealTest automated execution

1
Open OrderClerk
Click 'Connect to IB'
2
Import signals
Click 'Import' in RealTest
3
Generate orders
Click 'Orders' in RealTest
4
Execute trades
Click 'Place Orders'

Total daily time: ~5 minutes

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Strategy Details

Style
Mean Reversion
Universe
Russell 3000 Current & Past Stocks
Timeframe
Daily
Side
Long
Entry execution
Limit Order
Exit execution
Market On Open

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.

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Strategy Code Preview

RealTest full source code included in download

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

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Demo Strategy

$0one-time

Free RealTest demo mean reversion strategy.

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RealTest All-Time-High Mean-Reversion Strategy

$899one-time

Full strategy code and rules.

  • 2,881.2% Portfolio Growth
  • In-Sample / Out-of-Sample Validated
  • Survivor-Bias Free
  • Outperforms SPY Benchmark
  • Fully Customizable Source Code
  • Download Once, Use Forever

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