BACKTEST · MEAN REVERSION

Z-score mean reversion

SPY 20 day z-score below -2, exit at 0.

From 2015-01-02 to 2024-12-31, this rule made 47 trades and returned +91.6%. Buying and holding SPY returned +185.3% over the same dates. The largest drop from a past high was 28.7%.

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SCORE

Portfolio equity vs benchmark

The rule

SPY 20 day z-score below -2, exit at 0. Orders fill at the next close.

ENTER WHEN

20 day z-score below -2

EXIT WHEN

z-score back above 0

FIRST TRADE, FROM THE REPORT

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Did it beat SPY?

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How it did over time

Strategy in orange-red. SPY buy and hold in light.

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The same result in an AI chat

This is how the result looks when an AI agent such as Claude or ChatGPT runs it. It uses the same engine report.

Every trade

47 trades and 94 fills, straight from the engine report. Each fill shows the day the signal fired, the day it filled, and why. This run used 0 bps fees and 0 bps slippage on each fill, except when a modeled option expires. A basis point (bps) is one hundredth of one percent.

Every fill in this backtest, in time order
Signal date	Fill date	Ticker	Side	Price	Reason
2015-03-10	2015-03-11	SPY	Buy	$204.50	entry
2015-03-18	2015-03-19	SPY	Sell	$209.50	exit
2015-06-08	2015-06-09	SPY	Buy	$208.45	entry
2015-06-11	2015-06-12	SPY	Sell	$209.93	exit
2015-06-29	2015-06-30	SPY	Buy	$205.89	entry
2015-07-13	2015-07-14	SPY	Sell	$210.72	exit
2015-08-20	2015-08-21	SPY	Buy	$197.63	entry
2015-09-15	2015-09-16	SPY	Sell	$200.14	exit
2015-09-28	2015-09-29	SPY	Buy	$188.08	entry
2015-10-02	2015-10-05	SPY	Sell	$198.47	exit
2015-12-11	2015-12-14	SPY	Buy	$202.90	entry
2015-12-16	2015-12-17	SPY	Sell	$204.86	exit
2015-12-18	2015-12-21	SPY	Buy	$201.67	entry
2015-12-29	2015-12-30	SPY	Sell	$205.93	exit
2016-01-06	2016-01-07	SPY	Buy	$194.05	entry
2016-01-29	2016-02-01	SPY	Sell	$193.65	exit
2016-02-11	2016-02-12	SPY	Buy	$186.63	entry
2016-02-16	2016-02-17	SPY	Sell	$192.88	exit
2016-06-24	2016-06-27	SPY	Buy	$199.60	entry
2016-06-30	2016-07-01	SPY	Sell	$209.92	exit
2016-09-09	2016-09-12	SPY	Buy	$216.34	entry
2016-09-22	2016-09-23	SPY	Sell	$215.99	exit
2016-11-01	2016-11-02	SPY	Buy	$209.74	entry
2016-11-07	2016-11-08	SPY	Sell	$214.11	exit
2017-03-21	2017-03-22	SPY	Buy	$234.28	entry
2017-04-20	2017-04-21	SPY	Sell	$234.59	exit
2017-06-27	2017-06-28	SPY	Buy	$243.49	entry
2017-06-28	2017-06-29	SPY	Sell	$241.35	exit
2017-06-29	2017-06-30	SPY	Buy	$241.80	entry
2017-07-12	2017-07-13	SPY	Sell	$244.42	exit
2017-08-10	2017-08-11	SPY	Buy	$244.12	entry
2017-08-16	2017-08-17	SPY	Sell	$243.09	exit
2017-08-17	2017-08-18	SPY	Buy	$242.71	entry
2017-08-30	2017-08-31	SPY	Sell	$247.49	exit
2018-02-05	2018-02-06	SPY	Buy	$269.13	entry
2018-02-23	2018-02-26	SPY	Sell	$277.90	exit
2018-03-22	2018-03-23	SPY	Buy	$258.05	entry
2018-04-12	2018-04-13	SPY	Sell	$265.15	exit
2018-06-27	2018-06-28	SPY	Buy	$270.89	entry
2018-07-06	2018-07-09	SPY	Sell	$277.90	exit

Show all 94 fills

More fills in this backtest
Signal date	Fill date	Ticker	Side	Price	Reason
2018-10-10	2018-10-11	SPY	Buy	$272.17	entry
2018-11-06	2018-11-07	SPY	Sell	$281.01	exit
2018-12-17	2018-12-18	SPY	Buy	$255.08	entry
2019-01-07	2019-01-08	SPY	Sell	$256.77	exit
2019-05-13	2019-05-14	SPY	Buy	$283.40	entry
2019-06-05	2019-06-06	SPY	Sell	$284.80	exit
2019-08-01	2019-08-02	SPY	Buy	$292.62	entry
2019-08-21	2019-08-22	SPY	Sell	$292.36	exit
2019-10-01	2019-10-02	SPY	Buy	$288.06	entry
2019-10-11	2019-10-14	SPY	Sell	$295.95	exit
2020-02-25	2020-02-26	SPY	Buy	$311.50	entry
2020-04-06	2020-04-07	SPY	Sell	$265.13	exit
2020-10-28	2020-10-29	SPY	Buy	$329.98	entry
2020-11-04	2020-11-05	SPY	Sell	$350.24	exit
2021-03-04	2021-03-05	SPY	Buy	$383.63	entry
2021-03-10	2021-03-11	SPY	Sell	$393.53	exit
2021-05-12	2021-05-13	SPY	Buy	$410.28	entry
2021-05-14	2021-05-17	SPY	Sell	$415.52	exit
2021-06-18	2021-06-21	SPY	Buy	$420.86	entry
2021-06-22	2021-06-23	SPY	Sell	$422.60	exit
2021-09-17	2021-09-20	SPY	Buy	$434.04	entry
2021-10-14	2021-10-15	SPY	Sell	$445.87	exit
2021-11-26	2021-11-29	SPY	Buy	$464.60	entry
2021-12-07	2021-12-08	SPY	Sell	$469.52	exit
2022-01-19	2022-01-20	SPY	Buy	$446.75	entry
2022-02-02	2022-02-03	SPY	Sell	$446.60	exit
2022-02-23	2022-02-24	SPY	Buy	$428.30	entry
2022-03-16	2022-03-17	SPY	Sell	$441.07	exit
2022-04-22	2022-04-25	SPY	Buy	$428.51	entry
2022-05-26	2022-05-27	SPY	Sell	$415.26	exit
2022-06-13	2022-06-14	SPY	Buy	$373.87	entry
2022-07-07	2022-07-08	SPY	Sell	$388.67	exit
2022-08-30	2022-08-31	SPY	Buy	$395.18	entry
2022-09-12	2022-09-13	SPY	Sell	$393.10	exit
2022-09-23	2022-09-26	SPY	Buy	$364.31	entry
2022-10-18	2022-10-19	SPY	Sell	$368.50	exit
2022-12-16	2022-12-19	SPY	Buy	$380.02	entry
2023-01-06	2023-01-09	SPY	Sell	$387.86	exit
2023-03-10	2023-03-13	SPY	Buy	$385.36	entry
2023-03-21	2023-03-22	SPY	Sell	$392.11	exit
2023-08-16	2023-08-17	SPY	Buy	$436.29	entry
2023-08-29	2023-08-30	SPY	Sell	$451.01	exit
2023-09-21	2023-09-22	SPY	Buy	$430.42	entry
2023-10-10	2023-10-11	SPY	Sell	$436.32	exit
2023-10-26	2023-10-27	SPY	Buy	$410.68	entry
2023-11-02	2023-11-03	SPY	Sell	$434.69	exit
2024-04-15	2024-04-16	SPY	Buy	$503.53	entry
2024-04-29	2024-04-30	SPY	Sell	$501.98	exit
2024-07-25	2024-07-26	SPY	Buy	$544.44	entry
2024-08-13	2024-08-14	SPY	Sell	$543.75	exit
2024-10-31	2024-11-01	SPY	Buy	$571.04	entry
2024-11-06	2024-11-07	SPY	Sell	$595.61	exit
2024-12-18	2024-12-19	SPY	Buy	$586.10	entry
2024-12-24	2024-12-26	SPY	Sell	$601.34	exit

Want to change this rule?

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Risk warning

Past results do not predict future returns. Not investment advice.