I have created this mean reversion strategy for long and backtested in APPLE stock between a period of 2006 and 2016. These are the result
and the buy and hold vs strategy result
Is this a good strategy for mean revision?
NOTE: I also backtested with other stocks and most gave similar result?
Code:
All Long Short
No of trades 77 77 0
Avg.pnl% 6.522415 6.522415 0
Len 3.350649 3.350649 0
win% 55.84416 55.84416 0
win.avg.pnl% 3.350299 3.350299 0
win.len 3.511628 3.511628 0
loss% 44.15584 44.15584 0
loss.avg.pnl% -2.760008 -2.760008 0
loss.len 3.147059 3.147059 0
expectancy 6.522415E-005 6.522415E-005 0
Code:
strategy Benchmark
CAGR 4.48 25
Sharpe 0.5 0.8
MaxDD -14 -60
Exposure 9 99
VaR 0 -3.15
NOTE: I also backtested with other stocks and most gave similar result?