RealTest Strategies / RealTest Short Term Mean Reversion Strategy

RealTest Short Term Mean Reversion Strategy

A short-term mean-reversion strategy based on the Connors-Alvarez pullback methodology, implemented as a fully systematic RealTest algorithm. It buys S&P 500 stocks that pull back within a confirmed uptrend defined by the 200-day moving average. Backtested since 2000 with Norgate data and validated out-of-sample via walk-forward analysis.

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Performs in live market conditions since 2024-10-09
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Strategy Overview

Connors-Alvarez Framework

This strategy implements the short-term pullback methodology documented by Connors and Alvarez. It defines a confirmed uptrend using the 200-day moving average as a regime filter, then measures the depth of the pullback to identify statistically oversold entry points within that trend. Exits are time-based rather than target-based, allowing the natural mean-reversion probability to play out without premature stop-outs from intraday noise.

Systematic Implementation

The RealTest code implements the ruleset without discretionary overrides. Every parameter is explicit and modifiable in the source. The strategy ships as a complete .rts file that you can import, inspect, and adjust. All backtests use survivorship-bias-free Norgate data from January 2000 with realistic Interactive Brokers commissions applied.

Diversification Properties

Short-term mean-reversion strategies typically exhibit low correlation to trend-following and momentum systems. This makes them useful as a portfolio component for smoothing aggregate returns. The strategy tends to generate trades in choppy or range-bound markets where directional systems often stagnate, providing a complementary return stream.

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

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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

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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

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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 Short Term Mean Reversion Strategy RealTest code structure

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Demo Strategy

$ 0 one-time

Free RealTest demo mean reversion strategy.

  • RealTest .rts file
  • Robustness Verified
  • Does not include RealTest Short Term Mean Reversion Strategy
RealTest Users' Favorite

RealTest Short Term Mean Reversion Strategy

$ 790 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.

No Coding Needed

How To Use

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

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Common Questions

A short-term mean-reversion strategy based on the Connors-Alvarez pullback methodology, implemented as a fully systematic RealTest algorithm. It buys S&P 500 stocks that pull back within a confirmed uptrend defined by the 200-day moving average. Backtested since 2000 with Norgate data and validated out-of-sample via walk-forward analysis.
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.
2024-10-09. 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 Short Term 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.