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rejectedno_edge· equity· cross-sectional· factor· mean-reversion

Mean Reversion (US S&P 500)

slug: mean-reversion-us-sp500
performance summary
Sharpe (median)
-0.38
Max DD
-17.9%
Win rate
—
Alpha (ann.)
—
p-value
0.35
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 1024 grid runs:median -0.38best 0.97 (not representative)worst -1.97p25–p75 -0.79–0.00

Hypothesis

Stocks deviating from fair value (measured by z-score, RSI, Bollinger, or MRS) revert to the mean. LONG oversold, SHORT overbought. Applied to S&P 500 constituents.

Why it didn't work

Across 1024 grid combinations, median Sharpe=-0.38, best=0.97. Primary failure mode: no_edge.

Facts (7)

Average monthly return correlation with other strategies in DOWN regime: 0.14
Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
correlation0.14
cite ↗ /cite/mean-reversion-us-sp500-fact-avg-corr-down
Average monthly return correlation with other strategies (full period): 0.02
Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
correlation0.02
cite ↗ /cite/mean-reversion-us-sp500-fact-avg-corr-full
Best grid Sharpe ratio is 0.97 (p=0.045).
period 2022-02-01–2026-06-01; cost=5bps
sharpe_ratio0.97
cite ↗ /cite/mean-reversion-us-sp500-fact-best-sharpevia r-mean-reversion-us-sp500-0817
Median Sharpe across 1024 grid runs is -0.38.
Full grid of 1024 parameter combinations.
sharpe_ratio-0.38
cite ↗ /cite/mean-reversion-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is -0.14 across 1024 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.14
cite ↗ /cite/mean-reversion-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -0.64 across 1024 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.64
cite ↗ /cite/mean-reversion-us-sp500-fact-regime-flat
Median Sharpe in UP regime is -0.49 across 1024 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.49
cite ↗ /cite/mean-reversion-us-sp500-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
indicator=zscore, lookback=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-mean-reversion-us-sp500-0000
cost_bps: 5
lookback: 10
n_stocks: 5
-0.38-0.10-1.06+0.30
indicator=zscore, lookback=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-mean-reversion-us-sp500-0001
cost_bps: 5
lookback: 10
n_stocks: 5
-0.46-0.22-1.06+0.30
indicator=zscore, lookback=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-mean-reversion-us-sp500-0002
cost_bps: 10
lookback: 10
n_stocks: 5
-0.69-0.43-1.34-0.05
indicator=zscore, lookback=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-mean-reversion-us-sp500-0003
cost_bps: 10
lookback: 10
n_stocks: 5
-0.72-0.45-1.34-0.05
indicator=zscore, lookback=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-mean-reversion-us-sp500-0012
cost_bps: 5
lookback: 10
n_stocks: 50
-0.88-0.81-1.31-0.44
indicator=zscore, lookback=10, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-mean-reversion-us-sp500-0048
cost_bps: 5
lookback: 10
n_stocks: 5
-0.02-0.44-0.39+1.25
indicator=zscore, lookback=10, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True
r-mean-reversion-us-sp500-0053
cost_bps: 5
lookback: 10
n_stocks: 10
+0.35+0.42-0.18+0.76
indicator=zscore, lookback=20, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-mean-reversion-us-sp500-0101
cost_bps: 5
lookback: 20
n_stocks: 10
-0.06-0.09-0.47+0.26
indicator=zscore, lookback=40, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True
r-mean-reversion-us-sp500-0149
cost_bps: 5
lookback: 40
n_stocks: 10
-0.67-0.37-1.46-0.34
indicator=zscore, lookback=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-mean-reversion-us-sp500-0192
cost_bps: 5
lookback: 60
n_stocks: 5
-0.67-0.66-1.29+0.64
indicator=zscore, lookback=60, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False
r-mean-reversion-us-sp500-0198
cost_bps: 10
lookback: 60
n_stocks: 10
-1.16-1.44-1.24-0.31
indicator=zscore, lookback=60, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False
r-mean-reversion-us-sp500-0246
cost_bps: 10
lookback: 60
n_stocks: 10
-0.20-0.91+0.09+1.06
indicator=rsi, lookback=10, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-mean-reversion-us-sp500-0294
cost_bps: 10
lookback: 10
n_stocks: 10
-0.51-0.59-0.78-0.07
indicator=rsi, lookback=20, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-mean-reversion-us-sp500-0334
cost_bps: 10
lookback: 20
n_stocks: 50
-1.97-2.57-1.47-1.53
indicator=rsi, lookback=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-mean-reversion-us-sp500-0343
cost_bps: 10
lookback: 20
n_stocks: 10
-0.61-0.46-1.00-0.05
indicator=rsi, lookback=40, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True
r-mean-reversion-us-sp500-0391
cost_bps: 10
lookback: 40
n_stocks: 10
-1.21-1.47-1.10-0.87
indicator=rsi, lookback=40, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True
r-mean-reversion-us-sp500-0439
cost_bps: 10
lookback: 40
n_stocks: 10
-0.38-0.72-0.26-0.22
indicator=rsi, lookback=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True
r-mean-reversion-us-sp500-0487
cost_bps: 10
lookback: 60
n_stocks: 10
+0.22-0.29+0.15+1.32
indicator=bollinger_pct, lookback=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-mean-reversion-us-sp500-0512
cost_bps: 5
lookback: 10
n_stocks: 5
-0.38-0.10-1.06+0.30
indicator=bollinger_pct, lookback=10, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False
r-mean-reversion-us-sp500-0536
cost_bps: 5
lookback: 10
n_stocks: 20
-0.57-0.38-0.89-0.67
indicator=bollinger_pct, lookback=20, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False
r-mean-reversion-us-sp500-0584
cost_bps: 5
lookback: 20
n_stocks: 20
-1.12-1.11-1.47-0.44
indicator=bollinger_pct, lookback=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-mean-reversion-us-sp500-0632
cost_bps: 5
lookback: 20
n_stocks: 20
-0.44-0.69-0.69+0.33
indicator=bollinger_pct, lookback=40, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False
r-mean-reversion-us-sp500-0680
cost_bps: 5
lookback: 40
n_stocks: 20
-0.39-1.42+0.11+0.64
indicator=bollinger_pct, lookback=60, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False
r-mean-reversion-us-sp500-0728
cost_bps: 5
lookback: 60
n_stocks: 20
-0.59-0.50-1.12-0.16
indicator=mrs, lookback=10, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False
r-mean-reversion-us-sp500-0776
cost_bps: 5
lookback: 10
n_stocks: 20
+0.05-0.34-0.46+1.91
indicator=mrs, lookback=10, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True
r-mean-reversion-us-sp500-0817
cost_bps: 5
lookback: 10
n_stocks: 5
+0.97+0.91+0.56+1.91
indicator=mrs, lookback=10, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True
r-mean-reversion-us-sp500-0825
cost_bps: 5
lookback: 10
n_stocks: 20
+0.43+0.85-0.10+0.21
indicator=mrs, lookback=20, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True
r-mean-reversion-us-sp500-0873
cost_bps: 5
lookback: 20
n_stocks: 20
+0.50+0.36+0.63+0.54
indicator=mrs, lookback=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=True
r-mean-reversion-us-sp500-0921
cost_bps: 5
lookback: 40
n_stocks: 20
-0.18+0.80-0.92-0.80
indicator=mrs, lookback=60, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True
r-mean-reversion-us-sp500-0969
cost_bps: 5
lookback: 60
n_stocks: 20
-0.39-0.17-0.95-0.08

Target universe

S&P 500 constituents, ~503 stocks

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source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-27T03:37:13
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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