Total Return Difference - Mean Reversion Trading

This free demo backtest is a simplified version for non-subscribers and is limited to the 5 ETFs provided.

The purpose of this backtest is to evaluate the return from investing in the underperformer of two highly related securities and holding it until it outperforms. The backtest will buy Security 1 when the Total Return Difference over the specified lookback period drops below the Lower Band and hold until it reaches the Upper Band. At all other times, the backtest will invest in Security 2.

  • Lookback
  • St. Deviation
  • Upper Band
  • % of SD
  • Lower Band
  • % of SD

  • Trade On
  • Day 1
  • Day 2
  • Start Date
  • End Date
  • Chart