RealTest Strategies / RealTest Nasdaq 100 Mean-Reversion Strategy

RealTest Nasdaq 100 Mean-Reversion Strategy

A RealTest mean-reversion strategy that buys oversold Nasdaq 100 stocks and enters at the next open. It works the higher-beta end of the market, where sharper selloffs tend to be followed by sharper recoveries. Tested on survivorship-bias-free Norgate data with Interactive Brokers commissions modeled, and trading live since March 2024.

Beating SPY
$100k grows to $19.5M. SPY only $585k
Steady Growth
Last 18 years profitable streak.
Low Drawdown Period
Strategy remained below 10% drawdown for the last 15.2 months.
Live Market Performing
Performs in live market conditions since 2024-03-01
Premium

Portfolio Growth

+3,892%

19,375.1%

SPY 485.4%

Sharpe Ratio

+113%

1.02

SPY 0.48

Max Drawdown

+43%

-28.4%

SPY -49.9%

RealTest Nasdaq 100 Mean-Reversion 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 trades high-beta names

Nasdaq 100 stocks move more than the broad market, in both directions. For a mean-reversion strategy that movement is useful. A sharper selloff pushes a stock further from its recent range, and the recovery that follows tends to be larger than it would be in a slower universe. The strategy looks for these oversold, stretched names and takes the reversion when it comes.

How it was tested

The backtest runs on Nasdaq 100 constituents including names later removed from the index, so survivorship bias does not inflate the results. Interactive Brokers commissions and per-side slippage are modeled, 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

This is the more active mean-reversion engine in the lineup. It enters with market-on-open orders so it reliably takes part in the recovery moves it is built to catch, and it moves more than a large-cap system, which is the source of its larger reversion premium. Position sizing is set in the RealTest source, so you can scale the exposure to your own risk, and it pairs naturally with a calmer strategy that smooths the overall ride.

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 51.6% -41.8%
2008 Financial Crisis 2007-10-09 → 2009-03-09 -9.2% -49.9%
COVID-19 Crash 2020-02-19 → 2020-03-23 -16.2% -28.7%
2022 Bear Market 2022-01-03 → 2022-10-12 1.0% -21.3%
2025 Tariffs Crash 2025-02-19 → 2025-04-08 -17.3% -16.3%

Monthly Returns

YearJanFebMarAprMayJunJulAugSepOctNovDecTotalMaxDD
20002.513.8-8.94.7-4.87.6-2.96.25.55.8-3.819.650.9%-28.4%
20012.02.8-2.84.10.19.65.1-2.7-17.410.13.35.618.3%-23.2%
20022.40.81.6-2.40.9-3.9-7.05.90.95.94.70.910.3%-18.6%
20034.62.22.18.13.7-0.5-3.1-0.3-2.48.93.30.029.0%-8.1%
2004-4.3-0.30.31.211.6-3.1-9.12.00.44.61.45.18.6%-19.3%
2005-8.6-2.06.5-4.74.5-0.70.40.2-1.02.51.01.0-1.8%-11.6%
20066.9-4.82.2-0.5-8.35.71.33.93.03.95.33.022.4%-13.1%
2007-0.9-2.52.80.72.17.63.211.01.70.90.9-0.529.7%-9.8%
2008-16.51.9-1.27.05.41.01.70.61.0-11.25.50.7-6.7%-24.2%
20091.0-1.8-0.38.86.0-4.42.64.77.1-2.33.15.833.8%-9.3%
2010-7.58.92.33.9-2.3-5.66.6-1.63.40.0-1.21.67.6%-9.2%
20110.92.51.93.07.3-3.6-2.32.14.46.74.42.834.0%-19.4%
2012-0.60.41.11.3-5.20.55.10.6-1.7-0.81.81.13.3%-7.7%
20131.52.43.0-1.4-0.55.80.54.71.8-0.42.86.629.9%-6.6%
201416.42.9-6.99.94.41.3-1.31.50.90.60.00.532.2%-9.8%
2015-1.3-0.53.51.82.2-1.80.41.50.23.62.25.318.2%-7.1%
2016-5.22.92.61.54.92.80.02.63.0-0.20.85.823.3%-8.1%
20171.20.90.40.52.8-1.0-2.24.31.40.70.00.09.2%-7.3%
20180.4-1.40.5-0.10.5-1.42.91.61.90.8-0.0-2.82.8%-10.8%
20191.62.01.30.00.94.51.52.5-1.94.31.02.421.9%-7.3%
2020-1.62.0-0.710.87.65.21.72.612.3-5.010.42.557.3%-22.2%
20213.1-4.38.14.01.00.56.25.61.9-0.23.76.842.2%-14.1%
2022-1.29.32.5-1.81.5-3.33.7-6.2-0.70.68.51.914.4%-14.2%
20232.4-0.46.82.01.82.25.1-2.0-0.2-2.63.03.823.9%-8.7%
20244.48.15.20.43.74.8-4.4-3.33.20.95.5-2.927.7%-14.4%
202514.2-13.8-2.39.76.94.80.07.64.65.32.93.148.5%-23.6%
2026-1.24.1-4.61.05.119.3-5.018.1%-9.9%
Avg0.61.31.02.72.42.00.42.11.31.72.73.122.6%-13.6%
MetricPortfolioSPY
Sortino Ratio0.810.45
MAR Ratio0.77-
Net Profit$19.4M$485k
Expectancy1.31-
Trades21311
Win Rate70.81%-
Max Exposure106.1%100.0%
Best Year57.3%27.0%
Worst Year-6.7%-33.2%

Statistical Edge Verification

Science, governed by mathematics

Live Market Performance
Performs in real market conditions since 2024-03-01
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

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Strategy Details

Style
Mean Reversion
Universe
Nasdaq 100 Current & Past Stocks
Timeframe
Daily
Side
Long
Entry execution
Market On Open
Exit execution
Market On Open

Model assumptions

Included in Backtest

Commission$0.005 / Share
Slippage0.01% Per Side

SPY Buy & Hold Benchmark

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

Portfolio Builder & Simulator

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

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Strategy Code Preview

RealTest full source code included in download

RealTest Nasdaq 100 Mean-Reversion 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 Nasdaq 100 Mean-Reversion Strategy

$980one-time

Full strategy code and rules.

  • 19,375.1% 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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