Strategy test · mean reversion

Does Z-score reversion work?

Statistical distance from the 20-bar mean. 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 15,617 times and worked 4,235 of them (27%). On average each trade kept +0.01R.

Instrument	Kept a trade	Hit rate	Worked	Signals
SHOP Shopify	+0.19R	33%	103	311
INTC Intel	+0.19R	37%	112	303
F Ford	+0.17R	32%	97	299
AVGO Broadcom	+0.12R	33%	99	304
RIVN Rivian	+0.10R	30%	87	294
COIN Coinbase	+0.10R	28%	79	285
PLTR Palantir	+0.09R	32%	99	308
PYPL PayPal	+0.09R	30%	91	302
SMCI Super Micro Computer	+0.09R	30%	93	307
RDDT Reddit	+0.06R	27%	31	116
NKE Nike	+0.06R	29%	85	295
XRP XRP	+0.04R	24%	109	458
SNOW Snowflake	+0.04R	28%	85	304
GME GameStop	+0.04R	26%	76	298
LTC Litecoin	+0.04R	23%	102	447
WMT Walmart	+0.04R	29%	90	310
ARM Arm Holdings	+0.03R	28%	46	162
SOFI SoFi	+0.03R	30%	90	305
AMZN Amazon	+0.02R	25%	75	299
BAC Bank of America	+0.01R	30%	89	300
LINK Chainlink	+0.01R	25%	116	461
UBER Uber	+0.01R	30%	91	306
TSLA Tesla	+0.01R	27%	81	299
HOOD Robinhood	0.00R	30%	88	298
KO Coca-Cola	0.00R	29%	89	309
ETH Ethereum	0.00R	26%	121	472
DIS Disney	-0.01R	26%	78	298
SPY S&P 500 ETF	-0.01R	29%	90	309
BA Boeing	-0.01R	29%	90	313
AMC AMC Entertainment	-0.02R	23%	67	291
META Meta	-0.02R	28%	85	303
JPM JPMorgan Chase	-0.02R	27%	82	305
VOO Vanguard S&P 500 ETF	-0.02R	29%	88	307
COST Costco	-0.04R	27%	83	307
CRWD CrowdStrike	-0.04R	29%	88	299
NVDA NVIDIA	-0.04R	30%	89	300
QQQ Nasdaq 100 ETF	-0.04R	29%	88	302
NFLX Netflix	-0.04R	29%	90	313
AAPL Apple	-0.05R	27%	83	305
ADA Cardano	-0.05R	25%	113	459
AMD AMD	-0.05R	24%	72	303
BTC Bitcoin	-0.05R	24%	115	477
MSTR Strategy (MicroStrategy)	-0.06R	24%	70	296
SOL Solana	-0.07R	22%	102	460
GOOGL Alphabet (Google)	-0.07R	26%	75	290
DOGE Dogecoin	-0.07R	22%	101	459
MSFT Microsoft	-0.09R	24%	72	300
AVAX Avalanche	-0.14R	19%	90	469

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

all of them →

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.

Create free account Popular stocks

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.
Terms · Privacy · Popular stocks · Strategy tests · Track record · Pricing

Analysing

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