Intraday 5m Bracket Reversion
Mean reversion · Equity ETFs · 5-min · Bracket order
The rules, in plain English
This is a fast, intraday mean-reversion trade on 5-minute bars. It buys oversold RSI dips and brackets each trade tightly, aiming for about +0.6% with a stop near -0.4%. Small targets and small stops mean costs and slippage matter a lot at this speed.
The published backtest
| Total return | +1.1% |
|---|---|
| CAGR (annual growth rate) | — |
| Sharpe ratio | — |
| Maximum drawdown (worst peak-to-trough fall) | -1.3% |
| Win rate | — |
| Profit factor | — |
| Risk grade (our shorthand, from the published figures) | Not graded |
| Asset class | Equity ETFs |
| Style | Mean reversion |
| Timeframe | 5-min · Bracket order |
| Type | Orders |
— means no figure was published for this strategy. Ungraded and workflow entries publish diagnostics rather than a graded portfolio backtest, so some metrics are not published for them.
Honest verdict
Modest
This one made money in its published backtest, but modestly for the risk taken — look at the Sharpe ratio and the worst drawdown together before forming any opinion.
Worst drawdown in the published test: -1.3% — at its lowest point, a follower of this test would have been down that much from the peak before any recovery.
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Attribution: strategy and published backtest results from the QuantJourney open-source library (Apache-2.0), via quants.md — published backtest results by QuantJourney, reproduced with attribution. Results are hypothetical backtest results based on historical data; they are not live trading results and do not guarantee future performance. Educational content only — not financial advice, and not a recommendation to buy, sell, or hold any security.