Today, we look at a strategy we have called deep pullback strategy. It’s a mean-reversion strategy, but with a longer time frame than is typical for stock mean-reversion strategies.
Deep Pullback Strategy
Strategy type: Mean reversion (pullback).
Market: S&P 500 (SPY).
Performance
No. of trades: 128
Average gain per trade: 0.8%
Win ratio: 78%
Profit factor: 3
Annual returns (CAGR): 3%
Exposure/time in the market: 5%
Risk-adjusted return: 52% (CAGR divided by time spent in the market (0.05))
Max drawdown: 14%
Trading Rules
We used the following trading rules for this backtest:
