Index mean reversion
Takes the other side of moves that have run too far, too fast, inside a single cash session.
- Worst day
- −x.xx%
- Losing days
- xxx / xxx
- Longest recovery
- xx days
- Avg sync delay
- xxx ms
- Avg slippage
- x.x pt
- Suggested minimum balance
- $x,xxx
- Net return (last, on purpose)
- +xx.x%
- Market
- US and European equity indices
- Style
- Intraday, fades stretched moves back toward the session mean
- Holding
- Minutes to hours; flat by session close
- NAS100
- US500
- GER40
A trend day. The move that looks stretched keeps going, and each fade adds to the loss until the daily stop ends it.
Not a hedge for an equity portfolio, and not suited to accounts that cannot sit through a sequence of losing days.
SIMULATED — NOT LIVE PERFORMANCE. Figures are placeholders for broker-sourced numbers.