An innovative short-term mean reversion strategy, actively traded live since 2024.
This strategy leverages implied option volatility for precise entry timing. In essence, it identifies opportunities to purchase stocks when their price movement becomes significantly more pronounced than anticipated by option market makers. A detailed exploration of the methodology can be found in our article: Timing Mean Reversion Using Implied Volatility.
Employing limit orders for execution, the strategy is designed to outperform its benchmark while maintaining remarkably low capital utilization. Trades are executed selectively, occurring primarily during periods of heightened market volatility.
The accompanying graph illustrates the strategy's performance (blue line), reflecting a combination of backtested results and out-of-sample data generated since live trading began in 2024. Performance assumes the continuous reinvestment of capital. For comparative purposes, the benchmark performance (achieved by holding the S&P 500) is also displayed.
Below, you will find:
- Detailed Performance Statistics
- Comprehensive Benchmark Comparison
- Monthly Performance Breakdown
- Current Portfolio Holdings
- A Brief Strategy Description
