Robinhood
Mean reversion (launch example)
Fragile
“Backtest a mean reversion strategy to see how it performed historically, and deploy it to automatically buy oversold stocks and sell when they revert to the mean.”
From Robinhood
As tested: The textbook version on SPY (Connors): 2-day RSI under 10 while SPY is above its 200-day → buy at the next open, sell at the open after SPY closes above its 5-day average, at most 20 sessions. Compared with buying SPY on any day for as long.
Edge per trade+0.02%% vs buying SPY on any day, per trade
t-stat0.1495% range -0.30 to +0.35
Trades86Sep 1, 2016 – Oct 12, 2026
Win rate65%beat the comparison
Last 12 months+0.10%12 signals
Why fragile
- t-stat 0.14 is inside the noise
- 45% of resamples have no edge
- 83% of nudged versions keep the edge, so it isn't one lucky setting
- one half carries it (-0.01 before 2022, +0.05 after)
Year by year
2016
-0.27%3
2017
+0.39%6
2018
-1.54%8
2019
-0.05%8
2020
+0.57%8
2021
+0.64%10
2022
-1.93%2
2023
-0.50%10
2024
+0.61%14
2025
+0.39%8
2026
-0.05%9
Every signal
| Signal | Basket | Comparison | Edge |
|---|---|---|---|
| Sep 10, 2026 | -0.85% | +0.08% | -0.93% |
| Sep 1, 2026 | +1.15% | +0.14% | +1.01% |
| Jul 29, 2026 | +1.07% | +0.08% | +0.99% |
| Jul 20, 2026 | -0.06% | +0.08% | -0.14% |
| Jun 5, 2026 | -0.46% | +0.26% | -0.72% |
| Mar 3, 2026 | -2.05% | +0.64% | -2.68% |
| Feb 12, 2026 | +0.22% | +0.20% | +0.01% |
| Feb 5, 2026 | +1.07% | +0.08% | +0.99% |
| Jan 20, 2026 | +1.15% | +0.14% | +1.01% |
| Dec 31, 2025 | +0.22% | +0.14% | +0.08% |
| Dec 17, 2025 | +1.13% | +0.14% | +0.99% |
| Nov 17, 2025 | +0.89% | +0.33% | +0.56% |
| Oct 10, 2025 | +0.83% | +0.20% | +0.63% |
| Aug 19, 2025 | +0.63% | +0.20% | +0.42% |
| Jul 31, 2025 | +0.78% | +0.14% | +0.63% |
| May 21, 2025 | +1.43% | +0.20% | +1.22% |
| Feb 21, 2025 | -1.07% | +0.33% | -1.40% |
| Dec 31, 2024 | +1.07% | +0.14% | +0.92% |
| Dec 18, 2024 | +1.03% | +0.20% | +0.83% |
| Nov 15, 2024 | +1.12% | +0.20% | +0.92% |
| Oct 31, 2024 | +3.03% | +0.20% | +2.83% |
| Oct 23, 2024 | -0.12% | +0.20% | -0.33% |
| Sep 6, 2024 | +0.64% | +0.14% | +0.50% |
| Aug 5, 2024 | +1.94% | +0.20% | +1.74% |
| Jul 25, 2024 | +0.63% | +0.14% | +0.49% |
| Jul 19, 2024 | -0.85% | +0.14% | -0.99% |
| May 30, 2024 | +0.94% | +0.08% | +0.86% |
| Apr 15, 2024 | -0.73% | +0.33% | -1.05% |
| Apr 4, 2024 | +0.81% | +0.08% | +0.73% |
| Jan 17, 2024 | +0.67% | +0.08% | +0.59% |
| Jan 3, 2024 | +0.66% | +0.20% | +0.46% |
| Oct 19, 2023 | -1.69% | +0.51% | -2.20% |
| Sep 20, 2023 | -2.54% | +0.51% | -3.05% |
| Sep 7, 2023 | +0.36% | +0.14% | +0.22% |
| Aug 16, 2023 | -0.10% | +0.20% | -0.30% |
| Aug 3, 2023 | -0.69% | +0.14% | -0.83% |
| May 24, 2023 | +1.66% | +0.14% | +1.52% |
| May 4, 2023 | +0.89% | +0.08% | +0.81% |
| Apr 25, 2023 | +1.07% | +0.14% | +0.93% |
| Mar 9, 2023 | -1.40% | +0.20% | -1.61% |
| Feb 21, 2023 | -0.05% | +0.45% | -0.50% |
| Jan 18, 2022 | -3.79% | +0.51% | -4.30% |
| Jan 5, 2022 | +0.69% | +0.26% | +0.43% |
| Nov 26, 2021 | -0.03% | +0.39% | -0.41% |
| Sep 30, 2021 | -0.50% | +0.20% | -0.70% |
| Sep 20, 2021 | +1.02% | +0.20% | +0.82% |
| Sep 9, 2021 | -0.92% | +0.26% | -1.19% |
| Aug 18, 2021 | +1.94% | +0.14% | +1.80% |
| Jul 16, 2021 | +1.91% | +0.20% | +1.70% |
| Jun 18, 2021 | +0.87% | +0.08% | +0.79% |
| May 12, 2021 | +1.94% | +0.14% | +1.80% |
| Feb 19, 2021 | +0.77% | +0.20% | +0.56% |
| Jan 27, 2021 | +1.51% | +0.26% | +1.25% |
| Dec 14, 2020 | +0.56% | +0.08% | +0.48% |
| Oct 28, 2020 | +4.17% | +0.26% | +3.90% |
| Oct 19, 2020 | +0.62% | +0.20% | +0.42% |
| Sep 18, 2020 | +2.21% | +0.33% | +1.88% |
| Sep 8, 2020 | +0.96% | +0.26% | +0.69% |
| Jun 11, 2020 | +1.79% | +0.20% | +1.59% |
| Feb 21, 2020 | -4.32% | +0.39% | -4.71% |