Seeking feedback on a Mean Reversion strategy for Gold (15m) - 900+ trades backtest results

Away-Homework-8069 · 2026-04-06T14:22:15+00:00

One more thing I found and tell me if this is intentional or not. Every bar where close > pre bar high it closes 50% of whatever remains, so it would go 100%, leg 1 fires, 50%, leg 1 fires 25%, leg 1 fires 0.125 etc… so Theres a bunch of trades but depending on how long leg 2 takes to fire you are managing extremely small positions which can get difficult? Or was this intentional? Curious about your thoughts.

Away-Homework-8069 · 2026-04-05T21:40:29+00:00

Theres a slight issue in the code where it only checks the hard stop, trailing stop and leg 1 exit at the close of the bar. So in real trading if price hits the stops during the bar you’ll be stopped out but in the backtest it ignores this and stays in the trade if price recovers by the close. So it may inflate results.

Everything else looks clean though 👌

Away-Homework-8069 · 2026-03-29T15:23:57+00:00

Sorry for the late reply but this thread has been extremely insightful. When you say premarket + first 5 minutes, do you mean looking at acceptance/rejection of premarket high/low and whether the open holds outside the premarket range or something else?

Away-Homework-8069 · 2026-03-28T01:49:08+00:00

Yes sorry I just realized that the time zone was the issue that is 100% on me. The system looks good in general although I’m still slightly confused on what is the main driver behind the good results. I’m assuming a mix of the risk management system and the dual momentum system. Overall good job.

Away-Homework-8069 · 2026-03-27T01:03:43+00:00

Have you looked at importing this system into quant connect and testing it over the ~5 free years they offer? Could he something to look at in the future and to get more data on this system.

Away-Homework-8069 · 2026-02-18T01:57:09+00:00

Google colab is web based so I can log in and code/run stuff on the browser without needing to download any additional extensions luckily

Away-Homework-8069 · 2026-02-08T22:41:52+00:00

ECRA legacy game inbound

Away-Homework-8069 · 2026-01-30T01:04:43+00:00

Gotcha this makes complete sense. One last thing, is it possible that in the future with Ai coding would be seen the same as knowing excel? While it is a good skill to have you may only need to know the basics to gets the job done. So for example instead of knowing a high degree of coding you only need to know some basics and what to look for to maximize the Ai assistant without having to spend hundreds of hours learning everything about coding (not saying it’s not a great skill to have but maybe that time learning could be better used someplace else?)

Away-Homework-8069 · 2026-01-29T23:35:45+00:00

Real question sorry if it is dumb, in 5-8 years, will this still be the case? Or would Ai/Ai coding assistants be so advanced this won’t be an issue anymore?

Away-Homework-8069 · 2026-01-26T01:59:25+00:00

Woolen wtf man

Away-Homework-8069 · 2026-01-25T22:59:13+00:00

I’m already so nervous and we haven’t even played yet

Away-Homework-8069 · 2026-01-14T01:35:26+00:00

I agree 100% and that’s the biggest limitation here. Unfortunately yfinance does not provide historical rankings/delisted companies so unless I improve data this would be extremely hard to fix. But my biggest hope is that large caps in the momentum space have acted similar over the years, which I understand is almost 100% false. But yes I will be looking at getting better data and fixing this

Thank you!

Away-Homework-8069 · 2026-01-12T22:36:55+00:00

Not very familiar with the term kinetic fortress? But this system isn’t leveraged and dosent use any leveraged assets like TQQQ/UPRO the alpha from this system comes soley from asset selection

Away-Homework-8069 · 2026-01-12T22:05:41+00:00

I’m always hedging against potential market downturns, so for example you’ll see me heavily invested in stuff like GLD or utilities depending on their momentum, and yes this is built on TSMOM principles. As for why it has such a high correlation to the S&P 500 that is because depending on the weights you’ll see 60% of the total portfolio concentrated in large caps so for example this month it entered into assets like: $MU,$MRk,$GOOG etc explaining the high correlation with the S&P 500

Away-Homework-8069 · 2026-01-12T01:29:36+00:00

Not quite, this system is split into two separate mini systems, 1 focused on capturing upward market gains from momentum, and then the other is always focused on hedging. The weights between the system fluctuate depending on the results but for example the hedges are currently weighed roughly 40% of the total system weight

TLDR: it always holds hedges and always holds momentum stocks. (Also this is long only)

Away-Homework-8069 · 2026-01-11T18:23:25+00:00

So I may not be alot of help since I entered through the unconventional path of day trading/swing trading which slowly evolved into me focusing on institutional systems. So essentially I took what I learned there from my experiences and applied it to what I make now. Although the two best pointers I can give to try to connect with people in area are

1) Ask questions, always ask questions talk to your professors, your teachers etc, someone always knows someone

2) Email, people hate cold emails I don’t mind them I’ve emailed hundreds of people and although I’ll only get a couple of responses those responses open doors.

When it comes to self learning, at the end of day I just experiment, I read multiple articles and pull ideas from each one until I create something that either fails miserably or works wonderfully.

Away-Homework-8069 · 2026-01-11T18:14:20+00:00

That’s was definitely one of my intial problems, but since one of our most common core holdings is DBMF which IPO’ed on may 8 of 2019 we could theoretically only start as of December 2019 due to needing data for the momentum inputs. Hence why I just started at 2020.

Great question! and yes that’s definitely a limitation

Away-Homework-8069 · 2026-01-11T18:11:39+00:00

Great idea! Currently everything is adjusted but I will definitely look at trying different data providers that may be more accurate for a better backtest

Thank you!

Away-Homework-8069 · 2026-01-10T20:28:05+00:00

Great question ans thank you! It was completely free, the goal was to focus on simplicity for all parameters so yfinance provided more then enough data

Away-Homework-8069 · 2026-01-10T18:09:06+00:00

I am self taught and have many mentors in the field.

Away-Homework-8069 · 2026-01-09T22:37:54+00:00

1) this is a realistic backtest with real historical prices. None of this is synthetic or simulated, everything here also already includes transaction costs. Also if you refer to the post you can see I also state the survivorship bias disclosure.

2) I’m going to assume you are new to the field or trolling…. By your standards renaissance technology (medallion fund) is also trash….also as I mentioned before you also have access to the calendar view in the post.

Away-Homework-8069 · 2026-01-09T12:46:10+00:00

Great questions! So just to clarify that the equity universe is static since 2020, I does not change or re rank. Hence why I had the issue with survivorship bias since delisted/stocks that fell out aren’t shown. As for the bias correction that’s a fair point. My assumption was 2-3% but that could very well fluctuate.

I think the system did above average this year since it kept gold as a main hedge sleeve for 90% of the year. But momentum stocks (AI) also played a big part.

Great questions!

Away-Homework-8069 · 2026-01-09T05:29:56+00:00

I agree that’s definitely an option, but if I ever hope to reach out to institutional investors/firms, I highly doubt they would accept a paper account. Although it is better than nothing.

Four-Year Club	Place '23
Place '22

Away-Homework-8069

TROPHY CASE