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Statistics

Mean Reversion Strategy - SPY

Profit: $9,500

Test Period: Jan 2020 – Dec 2024

Initial Capital: $10,000
Final Capital: $18,450
Total Return: 84.5%
CAGR: 13.1%
Sharpe Ratio: 1.42
Sortino Ratio: 1.95
Max Drawdown: -18.6%
Win Rate: 57.3%
Total Trades: 142
Avg Trade Return: 0.62%
Profit Factor: 1.78
Volatility: 9.5%
Avg Holding Period: 4.3 days
Best Trade: 12.4%
Worst Trade: -7.1%