Strategy test · mean reversion

Does Stochastic reversal work?

%K/%D cross inside an extreme zone. Tested on every popular stock and coin, with real trading costs taken off.

The short answer

After costs, it kept money on 23 of the 48 stocks and coins we test.

It gave a signal 12,631 times and worked 3,427 of them (27%). On average each trade lost -0.01R.

Instrument	Kept a trade	Hit rate	Worked	Signals
SHOP Shopify	+0.19R	33%	81	248
ARM Arm Holdings	+0.17R	33%	45	135
INTC Intel	+0.15R	36%	83	231
RIVN Rivian	+0.14R	32%	78	247
AVGO Broadcom	+0.14R	33%	78	234
RDDT Reddit	+0.12R	27%	25	92
SMCI Super Micro Computer	+0.09R	31%	76	249
COIN Coinbase	+0.08R	27%	72	262
F Ford	+0.08R	29%	67	230
SOFI SoFi	+0.07R	33%	82	250
GME GameStop	+0.07R	27%	68	250
PYPL PayPal	+0.06R	29%	71	245
PLTR Palantir	+0.06R	30%	78	257
NKE Nike	+0.04R	28%	68	247
CRWD CrowdStrike	+0.04R	32%	81	250
LTC Litecoin	+0.04R	25%	83	332
AMC AMC Entertainment	+0.04R	24%	57	239
WMT Walmart	+0.03R	29%	68	238
TSLA Tesla	+0.02R	29%	69	241
SNOW Snowflake	+0.02R	28%	69	244
XRP XRP	+0.02R	24%	77	323
AMZN Amazon	+0.01R	26%	65	253
HOOD Robinhood	0.00R	29%	75	256
SPY S&P 500 ETF	0.00R	30%	80	270
NFLX Netflix	0.00R	30%	81	273
DIS Disney	-0.01R	27%	70	261
BA Boeing	-0.01R	28%	69	248
VOO Vanguard S&P 500 ETF	-0.02R	29%	78	270
META Meta	-0.03R	28%	70	253
COST Costco	-0.03R	27%	64	238
UBER Uber	-0.04R	28%	67	243
LINK Chainlink	-0.04R	24%	83	347
KO Coca-Cola	-0.05R	28%	69	249
QQQ Nasdaq 100 ETF	-0.05R	28%	76	267
NVDA NVIDIA	-0.05R	28%	71	252
AAPL Apple	-0.06R	28%	73	258
ETH Ethereum	-0.06R	25%	90	361
JPM JPMorgan Chase	-0.07R	26%	66	256
DOGE Dogecoin	-0.08R	22%	71	327
BAC Bank of America	-0.08R	26%	69	261
ADA Cardano	-0.09R	24%	87	364
MSTR Strategy (MicroStrategy)	-0.09R	23%	56	242
BTC Bitcoin	-0.09R	24%	86	364
SOL Solana	-0.09R	23%	82	353
GOOGL Alphabet (Google)	-0.10R	24%	57	235
AMD AMD	-0.13R	21%	55	258
MSFT Microsoft	-0.14R	24%	63	259
AVAX Avalanche	-0.14R	21%	78	369

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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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.