📊 Mean Reversion Strategy

SPY 1-Minute Bars | October 1, 2025 - January 29, 2026

EMA Z-Score Intraday Trading 96 Trading Days

🎯 Optimized Parameters

Trade Quantity: 25 shares | Z-Score Threshold: 2.0 | Lambda: 0.80

Total P/L
+$8,266.40
Total Return
+6.61%
Sharpe Ratio
1.95
Win Rate
56.2%
Max Drawdown
-3.68%
Trading Days
96
Total Trades
5,173
Avg Daily P/L
+$108.58

📈 Equity Curve

📊 Daily P/L Distribution

⚙️ Strategy Parameters

Symbol SPY
Strategy EMA Z-Score
Trade Quantity 25 shares
Z-Score Threshold 2.0
Lambda (EMA Decay) 0.80
Position Limit Long 400 shares
Position Limit Short -400 shares
Starting Balance $125,000

📋 Parameter Comparison

Configuration Total P/L Return Sharpe Max DD Win Rate Status
25 shares, Z=2.0 +$8,266 +6.61% 1.95 -3.68% 56.2% OPTIMAL
50 shares, Z=2.0 +$2,930 +2.34% 1.38 -5.31% 53.1% Good
50 shares, Z=1.5 +$2,458 +1.97% 1.31 -4.82% 55.0% Good
50 shares, Z=1.0 +$1,245 +1.00% 0.89 -6.12% 52.0% Risky
50 shares, RSI -$11,671 -9.34% -1.23 -12.4% 41.0% Avoid

📈 Daily Performance Summary

Metric Value Metric Value
Winning Days 54 Losing Days 42
Best Day +$5,111.36 Worst Day -$1,857.41
Avg Daily P/L +$108.58 Daily Volatility 0.71%
Total Buys 2,583 Total Sells 2,590
Avg Trades/Day 53.9 Final Position -175 shares

Generated on February 1, 2026 | Mean Reversion Strategy Backtest

Data: 73,361 bars of SPY 1-minute data