RealTest Strategies / RealTest Low Drawdown Nasdaq Mean Reversion Strategy

RealTest Low Drawdown Nasdaq Mean Reversion Strategy

A mean-reversion strategy trading Nasdaq 100 constituents with an integrated EWMA volatility forecast for adaptive position sizing. The algorithm adjusts exposure based on current volatility regime, tightening risk in turbulent markets and widening it in calm conditions. Backtested since 2000 with survivorship-bias-free Norgate data.

Beating SPY
$100k grows to $1.5M. SPY only $585k
Steady Growth
Last 8 years profitable streak.
Low Drawdown Period
Strategy remained below 10% drawdown for the last 317.9 months.
Live Market Performing
Performs in live market conditions since 2025-01-02
Premium

Portfolio Growth

+187%

1,394.1%

SPY 485.4%

Sharpe Ratio

+193%

1.4

SPY 0.48

Max Drawdown

+83%

-8.6%

SPY -49.9%

RealTest Low Drawdown Nasdaq Mean Reversion Strategy equity curve vs SPY benchmark $100k$300k$1.0M '02'04'06'08'10'12'14'16'18'20'22'24'26
Strategy SPY ETF

Strategy Overview

EWMA Volatility Forecasting

The strategy uses an Exponentially Weighted Moving Average to estimate current volatility in the Nasdaq 100. Unlike static lookback windows, EWMA weights recent observations more heavily, adapting faster to regime changes. When forecasted volatility rises, the algorithm reduces position sizes and tightens exits. When volatility contracts, it allows wider stops and larger allocations. This adaptive sizing is the primary mechanism for controlling drawdowns.

Nasdaq 100 Universe Selection

Restricting the universe to Nasdaq 100 constituents provides a structural advantage for mean-reversion strategies. These are large-cap, highly liquid companies with institutional ownership. When they sell off, recovery tends to be driven by institutional rebalancing rather than speculative activity. The concentrated universe also means backtests can be run with realistic position sizes without liquidity concerns.

Drawdown Management

The strategy prioritizes risk-adjusted returns over raw CAGR. By scaling exposure inversely with volatility, it reduces the depth and duration of drawdowns compared to fixed-allocation mean-reversion approaches. All backtest results include Interactive Brokers commissions. Performance metrics including maximum drawdown, Sortino ratio, and drawdown duration are available on the product page.

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 48.7% -41.8%
2008 Financial Crisis 2007-10-09 → 2009-03-09 0.6% -49.9%
COVID-19 Crash 2020-02-19 → 2020-03-23 0.0% -28.7%
2022 Bear Market 2022-01-03 → 2022-10-12 2.5% -21.3%
2025 Tariffs Crash 2025-02-19 → 2025-04-08 -1.6% -16.3%

Monthly Returns

YearJanFebMarAprMayJunJulAugSepOctNovDecTotalMaxDD
20002.17.08.38.56.70.22.51.61.9-1.10.71.246.9%-7.4%
20011.30.1-0.00.01.73.12.40.70.00.00.13.313.4%-2.0%
20020.31.10.70.01.6-1.0-0.40.00.60.00.00.93.8%-3.1%
20032.00.20.53.92.52.82.52.7-2.17.74.20.831.1%-3.6%
20040.43.3-0.41.01.31.11.20.31.11.70.41.613.7%-3.3%
20052.22.52.20.50.01.81.4-3.30.61.0-0.14.213.7%-4.2%
20063.61.51.01.40.84.40.80.10.11.11.03.220.7%-4.5%
20071.41.00.40.31.10.9-0.61.62.30.53.60.513.6%-1.5%
2008-5.11.71.20.12.60.01.20.8-3.3-0.00.00.0-1.2%-6.7%
20090.1-1.0-0.90.00.9-1.01.32.43.6-1.23.32.09.8%-5.9%
2010-2.42.71.40.3-0.0-1.82.71.40.40.41.00.76.7%-4.5%
20110.61.0-0.60.42.3-2.4-0.2-3.6-0.01.23.21.53.2%-8.6%
20120.00.81.00.30.40.61.0-0.4-0.30.80.10.64.9%-2.7%
20131.12.7-0.60.60.22.10.42.51.41.02.80.916.3%-1.3%
2014-2.91.00.30.90.40.6-0.40.0-0.20.30.42.22.4%-4.9%
20152.6-0.21.12.11.5-0.51.20.90.10.00.81.511.6%-2.1%
2016-2.00.00.80.70.60.4-0.20.4-0.41.00.80.52.6%-3.8%
20172.2-0.1-0.5-0.00.90.31.10.60.21.30.40.87.5%-2.1%
20181.2-2.30.72.01.1-0.6-0.60.21.2-2.90.6-1.9-1.5%-6.0%
2019-0.00.73.10.5-2.72.31.70.31.30.71.50.810.5%-3.9%
2020-0.5-0.12.00.01.40.40.62.73.8-1.16.23.920.7%-2.7%
20211.01.82.92.00.41.41.91.4-2.00.5-1.52.012.3%-3.7%
20220.32.4-0.11.20.1-0.30.2-0.1-1.81.10.62.56.2%-5.6%
20230.2-0.42.5-1.21.63.80.9-0.1-1.6-0.10.11.67.3%-3.9%
20240.61.30.90.3-0.61.21.20.13.01.00.8-4.06.0%-4.4%
20256.60.1-0.40.20.20.30.6-0.10.61.8-3.60.46.7%-6.0%
20262.30.8-1.20.2-0.81.13.86.3%-2.7%
Avg0.71.11.01.01.00.81.00.50.40.61.11.210.9%-4.1%
MetricPortfolioSPY
Sortino Ratio1.290.45
MAR Ratio1.25-
Net Profit$1.4M$485k
Expectancy0.97-
Trades28621
Win Rate71.87%-
Max Exposure99.73%100.0%
Best Year46.9%27.0%
Worst Year-1.5%-33.2%

Statistical Edge Verification

Science, governed by mathematics

Live Market Performance
Performs in real market conditions since 2025-01-02
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
RealTest trading software logo

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
OrderClerk automated trading execution interface

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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
Nasdaq 100 Current & Past Stocks
Timeframe
Daily
Side
Long
Entry execution
Limit Order
Exit execution
Limit & Market

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 Low Drawdown Nasdaq Mean Reversion Strategy RealTest code structure

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RealTest Low Drawdown Nasdaq Mean Reversion Strategy

$999one-time

Full strategy code and rules.

  • 1,394.1% 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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