A Mean Reversion Strategy Using IBS That Hits 75% Win Rate on SPY
· 4 min read
I stumbled upon a mean reversion strategy that shows some potential. I'll get straight into it.
7 posts tagged with "Trading Strategies"
Quantitative trading strategies and setups
View All TagsWhat Is Max Drawdown? The Number That Tells You If You Can Stomach a Strategy
· 2 min read
Max drawdown is the largest peak-to-trough drop in your portfolio value. It answers: "What's the worst it's ever gotten?"
What Is Calmar Ratio? Measuring Return vs. Worst-Case Drawdown
· 2 min read
The Calmar Ratio answers a simple question: is the return worth the pain? It divides your annualized return by the worst drawdown you experienced.
What Is CAGR? Compound Annual Growth Rate Explained for Traders
· 2 min read
CAGR stands for Compound Annual Growth Rate. It tells you what your strategy's annualized return would be if it grew at a steady rate every year.
What Is Sharpe Ratio? Risk-Adjusted Returns Explained
· 2 min read
The Sharpe Ratio measures return per unit of risk. It answers: "Am I being compensated enough for the volatility I'm taking on?"
What Is Sortino Ratio? A Better Risk Metric Than Sharpe
· 2 min read
The Sortino Ratio is like the Sharpe ratio, but smarter. Instead of penalizing all volatility, it only penalizes downside volatility.
What Is Profit Factor? The Simplest Way to Judge a Trading Strategy
· 2 min read
Profit Factor is one of the simplest and most useful metrics in backtesting. It answers a straightforward question: for every dollar you lost, how many dollars did you make?