RealTest Strategies / RealTest Mean Reversion Trading Strategy

RealTest Mean Reversion Trading Strategy

A RealTest mean-reversion strategy for S&P 500 stocks that waits for a candlestick reversal before buying an oversold name, so entries come only after sellers start to step back. Tested on survivorship-bias-free Norgate data, with Interactive Brokers commissions and limit fills modeled, and trading live since May 2024.

Beating SPY
$100k grows to $10.8M. SPY only $585k
Steady Growth
Last 27 years profitable streak.
Low Drawdown Period
Strategy remained below 10% drawdown for the last 15.3 months.
Live Market Performing
Performs in live market conditions since 2024-05-01
Premium

Portfolio Growth

+2,103%

10,694.1%

SPY 485.4%

Sharpe Ratio

+195%

1.41

SPY 0.48

Max Drawdown

+69%

-15.5%

SPY -49.9%

RealTest Mean Reversion Trading Strategy equity curve vs SPY benchmark $100k$300k$1.0M$3.0M$10.0M '02'04'06'08'10'12'14'16'18'20'22'24'26
Strategy SPY ETF

Strategy Overview

Why it waits for confirmation

An oversold stock is not always a stock that is about to turn. Buying purely on an oversold reading can put you into a name that keeps falling through a selloff. This strategy waits for a candlestick reversal, a price-action signature that shows sellers losing control, before it enters. That step means entering when there is already a sign of stabilization, which improves the quality of each entry and keeps you out of the worst of a cascading decline.

How it was tested

The backtest runs on S&P 500 constituents including companies later removed from the index, so survivorship bias does not inflate the results. Every fill is modeled with a limit-order buffer and Interactive Brokers commissions, so the equity curve is after real costs. The rules stay simple and use few parameters, and the strategy was checked with walk-forward analysis and Monte Carlo simulation. Both are shown on this page.

How it fits your trading

The confirmation filter trades less often than a plain oversold system, so it spends more time in cash and puts capital to work only on the higher-quality setups. It is long-only on liquid large-cap US stocks, which makes it steady to run alongside a trend or breakout strategy. The logic is clear enough to follow through a full market cycle without overriding it on the hard days.

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 → 2002-10-09 169.8% -41.8%
2008 Financial Crisis 2007-10-09 → 2009-03-09 12.5% -49.9%
COVID-19 Crash 2020-02-19 → 2020-03-23 -5.1% -28.7%
2022 Bear Market 2022-01-03 → 2022-10-12 4.1% -21.3%
2025 Tariffs Crash 2025-02-19 → 2025-04-08 -11.7% -16.3%

Monthly Returns

YearJanFebMarAprMayJunJulAugSepOctNovDecTotalMaxDD
2000-2.47.94.35.49.61.83.08.51.914.76.03.985.7%-12.4%
20015.87.51.41.60.02.12.52.3-2.06.5-0.45.537.7%-9.5%
20023.0-2.23.33.22.6-0.5-1.40.33.80.72.43.119.7%-9.6%
20032.80.61.40.86.89.14.33.6-0.87.75.41.351.8%-5.2%
20041.04.12.3-1.21.10.2-2.10.60.91.7-1.03.411.2%-5.4%
2005-6.32.12.91.01.91.83.40.01.5-1.21.41.69.9%-8.0%
20064.22.63.93.1-5.01.21.40.4-0.53.20.6-0.215.7%-10.0%
2007-0.2-1.91.83.01.64.01.23.3-0.14.00.53.222.2%-6.3%
2008-7.70.93.72.25.72.9-2.60.58.2-1.00.00.012.5%-14.1%
2009-0.1-5.4-0.36.63.54.0-1.83.19.1-4.75.11.621.4%-10.5%
2010-4.25.42.11.40.8-2.01.02.10.02.50.92.012.4%-9.7%
2011-0.02.85.21.32.7-0.91.2-3.51.42.6-1.10.712.7%-15.5%
20120.81.53.91.9-1.21.81.50.80.93.91.31.019.6%-4.7%
20130.33.6-0.01.50.83.30.20.61.44.10.90.318.2%-3.4%
2014-2.11.00.84.90.60.3-2.30.50.8-1.60.22.35.4%-7.7%
20153.91.00.6-1.43.43.20.90.60.40.31.80.315.9%-6.2%
2016-1.10.92.20.80.33.70.9-3.11.70.92.5-0.29.7%-4.3%
20170.9-0.7-0.00.7-0.31.50.2-0.21.12.40.91.28.1%-3.1%
20180.7-0.93.80.64.51.7-0.81.5-1.1-0.92.5-1.510.3%-7.1%
2019-0.20.21.31.4-5.62.4-0.50.01.34.40.12.16.6%-7.6%
2020-1.7-4.94.1-0.03.77.28.32.11.6-1.14.12.828.6%-8.4%
2021-4.65.80.50.93.7-0.2-1.73.3-0.5-0.41.79.919.1%-6.8%
2022-4.92.48.5-0.25.4-8.9-0.91.01.71.07.9-1.011.3%-13.4%
20231.4-0.4-2.30.2-0.92.14.90.7-1.90.50.91.87.2%-7.1%
20242.47.24.01.53.01.5-2.21.10.61.46.82.634.0%-7.7%
20251.8-2.7-2.5-3.50.23.03.64.33.82.8-1.03.814.1%-12.6%
20262.54.9-1.3-0.07.31.6-0.215.5%-6.5%
Avg-0.11.62.11.42.11.80.81.31.42.11.92.019.9%-8.3%
MetricPortfolioSPY
Sortino Ratio1.340.45
MAR Ratio1.25-
Net Profit$10.7M$485k
Expectancy1.41-
Trades34401
Win Rate69.59%-
Max Exposure99.9%100.0%
Best Year85.7%27.0%
Worst Year5.4%-33.2%

Statistical Edge Verification

Science, governed by mathematics

Live Market Performance
Performs in real market conditions since 2024-05-01
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

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

Get OrderClerk automation course →

Strategy Details

Style
Mean Reversion
Universe
S&P 500 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 Buffer0.05% 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 Mean Reversion Trading Strategy RealTest code structure

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Demo Strategy

$0one-time

Free RealTest demo mean reversion strategy.

  • RealTest .rts file
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RealTest Mean Reversion Trading Strategy

$999one-time

Full strategy code and rules.

  • 10,694.1% 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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