Dynamic Mean-Reversion RealTest Strategy (SPY, RUI, NDX)

Daily mean-reversion strategy.

Main info

• S&P500 Current & Past Stocks / NASDAQ100 Current & Past Stocks / Russell 100 Current & Past Stocks
• Daily Timeframe
• Backtested period 2001-2024
• Starting Balance $100000

Included files

• RealTest file (.rtd)
• .TXT file with RealTest code for the AmiBroker or Python users

Requirements

• RealTest
• Norgate Data – US Stocks (Platinum / Diamond package)

Info

• Included Trading Cost (IBKR Commissions + Slippage)
• Survivorship bias-free
• Lookahead bias-free
• Included limit extras

Tutorial - for RealTest users

1. Unzip folder
2. Open RealTest
3. Open the downloaded .rtd file
4. Click import
5. Click run

Russell 100 Current & Past stocks (Stats)

S&P500 Current & Past stocks (Stats)

NASDAQ 100 Current & Past stocks (Stats)

We’re not financial advisors and this is not financial advice.