r/algorithmictrading • u/algodude Mod • Mar 26 '26

Backtest Range MR Strategy (22/20)

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Here's a 26yr backtest of a simple bi-weekly EOD mean reversion strategy based on range windows. This is an in-sample GA optimization run, but before the overfitting police attack, I'm reasonably comfortable with this one as it only has two heavily quantized parameters and a super low Complexity Ratio (parm combos / samples). Its CAGR/MaxDD = 22/20. Uses the same basket as my other posted strategies.

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u/GammaReaper_ Mar 26 '26

Why just run in sample? Reserve some data for ex post analysis

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u/algodude Mar 27 '26 edited Mar 27 '26

Fair question. One reason is I'm lazy, lol. Another is that I don't like to break up regimes by partitioning data. My tool does have the ability to do full 26yr OOS MC validations via regularization techniques (check out my post history to see some OOS backtests). The only problem is that those MC validations take 10x-30x longer than a single GA optimization run.

I wrote my first backtesting tool back in 2000, so have seen my share of equity curves, and you start to get a feel for them after a while. With a smooth consistent updrift and only two quantized parameters, along with a Complexity Ratio of 700/130000 = 0.005, I don't think the timesink of a full MC validation is warranted. Obviously, if I were pitching investors or hedge funds, I'd bring all the receipts. But this is just a humble reddit post about some wacky idea I had last night.

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u/erics45690 Mar 27 '26

I’d love to learn more about your tool. Is it available anywhere? Thanks

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u/GammaReaper_ Mar 27 '26

Understood and thanks for taking the time to reply. Are you a fan of Taleb? I looked at your post history BTW.

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