11 Sharpe Mean Reversion Algo

Intraday mean reversion algo able to withstand any market condition since 2008.

Super. And traded live since?

This reminds me of models I built/tested that either weren’t taking into account realistic slippage/commissions, or worse actually were assuming it is possible to buy on the bid and sell on the ask.

Once realistic numbers were plugged in for these factors the graph became a mirror image and ground left to right down into oblivion.

Of course if that isn’t the case here then best of luck and by all means go for it!

I would say this is from Quantopian.
Is this something you build?

Or did he program the Babson system that was trashed by C2 years ago…it used hidden geometry?

Hey everyone! Look at my awesome backtest!!!


If it is so great, just run it yourself and become a millionaire in no time. No need to share it, right?

More like, are you a billionaire yet?

reminds me of this post The Holy Grail Trading System: Backtest (editied to remove sarcasm)

…with the difference that this guy here actually seems to be serious about his system. :rofl:

To be honest, it took me a while to understand why almost no serious developer is advertising his system in the forum aside from casual discount events. Because so many wannabes try to catch the unexperienced that it gets a very dubious taste to post anything about one´s system even if it works.

Thank you @JackDeNaut3 for your effort to undermine people´s trust once more. /sarcasm

Hi Alex, but if your system IS good and the stats are there, why not post about it to discuss the stats and get feedback?

I agree with you 100%, one should actually do this if there is something to discuss. However, only if there is something to discuss.
But since most systems presented recently are not worth a discussion and their devs spamming nonetheless people get a natural resistence against developers talking about their system.
No strategy is flawless, you can always find something you don’t like. Even if it was flawless then it would get adressed as scam in a discussion because after a while of getting fed with thrash you expect the next thing to be thrash aswell.

I could be completely wrong in my perception of this trend in frequent forum participants. But my impression is that the community gets more and more split thanks to guys like above.