Total Return Difference - Mean Reversion Trading

This free demo backtest is a simplified version for non-subscribers and is limited to the 5 ETFs provided.

The purpose of this backtest is to evaluate the return from investing in the underperformer of two highly related securities and holding it until it outperforms. The backtest will buy Security 1 when the Total Return Difference over the specified lookback period drops below the Lower Band and hold until it reaches the Upper Band. At all other times, the backtest will invest in Security 2.

Name

• Sec 1
• GSEW IWD IWF SPY XLF
• U.S. Financial Sector SPDR

• Sub 1
• Symbols

• Sec 2
• GSEW IWD IWF SPY XLF
• iShares Russell 1000 Growth (SWLGX)

• Sub 2
• Symbols

• Lookback
• 2-Days 3-Days 4-Days 5-Days 6-Days 7-Days 8-Days 9-Days 10-Days 11-Days 12-Days 13-Days 14-Days 15-Days 20-Days 2-Months 3-Months 4-Months 5-Months 6-Months
• St. Deviation
• 30-Day 60-Day 90-Day 120-Day
• Upper Band
• % of SD
• Lower Band
• % of SD

• Trade On
• Day Weekly Semi Monthly Monthly

• Day 1
• Monday Tuesday Wednesday Thursday Friday
• Day 2
• Monday Tuesday Wednesday Thursday Friday

• Start Date
• 
• End Date
• 
• Chart
• Mark signals

•  
• • Chart Options
  • BlackWhite (print)