Strategy test · mean reversion

Does CCI reversion work?

CCI beyond the +-100 bands. Tested on every popular stock and coin, with real trading costs taken off.

The short answer

After costs, it kept money on 24 of the 48 stocks and coins we test.

It gave a signal 13,838 times and worked 3,782 of them (27%). On average each trade kept +0.01R.

Instrument	Kept a trade	Hit rate	Worked	Signals
F Ford	+0.19R	33%	87	263
INTC Intel	+0.18R	36%	92	258
SHOP Shopify	+0.17R	31%	81	259
RDDT Reddit	+0.14R	28%	28	101
AVGO Broadcom	+0.12R	33%	85	260
COIN Coinbase	+0.12R	28%	71	253
RIVN Rivian	+0.11R	31%	79	259
PLTR Palantir	+0.10R	32%	88	272
SMCI Super Micro Computer	+0.10R	30%	83	273
PYPL PayPal	+0.09R	31%	83	271
SNOW Snowflake	+0.09R	30%	80	266
LTC Litecoin	+0.08R	24%	95	392
GME GameStop	+0.06R	26%	66	251
ARM Arm Holdings	+0.06R	29%	40	139
XRP XRP	+0.06R	25%	101	407
NKE Nike	+0.05R	28%	73	261
WMT Walmart	+0.04R	30%	83	279
LINK Chainlink	+0.04R	26%	103	401
DIS Disney	+0.02R	28%	75	272
SOFI SoFi	+0.01R	31%	83	269
ETH Ethereum	+0.01R	26%	112	423
UBER Uber	+0.01R	29%	78	269
TSLA Tesla	+0.01R	28%	75	265
BAC Bank of America	0.00R	29%	79	268
META Meta	0.00R	29%	77	268
AMZN Amazon	-0.01R	24%	64	263
QQQ Nasdaq 100 ETF	-0.01R	30%	84	276
CRWD CrowdStrike	-0.02R	30%	82	270
NFLX Netflix	-0.02R	29%	82	279
AMC AMC Entertainment	-0.02R	23%	61	263
JPM JPMorgan Chase	-0.02R	27%	73	274
KO Coca-Cola	-0.02R	29%	78	270
SPY S&P 500 ETF	-0.02R	28%	79	282
BTC Bitcoin	-0.03R	25%	106	427
BA Boeing	-0.03R	27%	79	289
ADA Cardano	-0.03R	25%	100	402
VOO Vanguard S&P 500 ETF	-0.04R	27%	77	282
AAPL Apple	-0.04R	28%	77	275
HOOD Robinhood	-0.04R	28%	76	273
MSTR Strategy (MicroStrategy)	-0.05R	24%	64	262
NVDA NVIDIA	-0.06R	29%	75	261
DOGE Dogecoin	-0.06R	23%	92	407
COST Costco	-0.06R	26%	70	269
AMD AMD	-0.07R	23%	64	275
GOOGL Alphabet (Google)	-0.08R	26%	65	254
SOL Solana	-0.09R	23%	90	398
AVAX Avalanche	-0.13R	20%	82	419
MSFT Microsoft	-0.13R	24%	65	269

How we tested

Up to 5 years of daily prices for each stock and coin.
Every time the strategy leaned up or down, we took a pretend trade that way. Stop 1.5 ATR away, target 2.25 ATR away, closed after 10 trading days if it hit neither. ATR is how much the price usually moves in a day.
Worked means it reached the target before the stop. If both were touched on the same day, we count it as a loss.
Costs come off every trade: 0.02% a round trip for stocks, 0.2% for crypto.
Kept a trade is in R, the amount risked. +0.10R means 10 cents kept for every dollar risked, on average, after costs.
Strategies that fired fewer than 40 times on a stock are left out: that few is luck.

Re-run every day. Past results do not promise future ones. This is software output, not financial advice.

Other mean reversion strategies

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See what works on the stock you are looking at.

Orenth runs all 34 strategies on any stock or coin, and says so when none of them has an edge.

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Analysis software, not financial advice. Every figure here is measured from historical price data and can stop describing the future at any moment. Day trading loses money for the large majority of retail participants, and this tool's own measurements agree with that. Never risk money you cannot afford to lose.
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Analysing

Fetching data, running 34 strategies, and back-testing each one against this instrument's own history.