Mean Reversion — US Large Cap

Mean Reversion — US Large Cap is a medium-risk equities strategy. Buys S&P 500 constituents that have stretched >2 standard deviations below their 20-day mean while maintaining a positive fundamental backdrop. Exits on reversion to the VWAP or a fresh volatility expansion. Designed for ranging or mildly bullish regimes.

The core idea: fade short-term dislocations in liquid large-cap names using bollinger confluence. The system looks for setups that meet every entry condition simultaneously, then manages the position mechanically according to the exit rules — no discretion, no "gut feel" overrides.

Historically, this strategy has won 61% of its 412 trades over the 2019-01 to 2025-03 period, returning 14.2% annualized with a Sharpe ratio of 1.35. The worst peak-to-trough drawdown was −9.2%.

In this journal's sample, 9 Mean Reversion — US Large Cap trades have closed with a 67% win rate and +$2,877 net P&L. Remember: a small journal sample is noisy — the 412-trade historical record is the more reliable estimate.

Risk profile: each trade risks at most 2.0% of equity, with a hard stop at −5.0% and a profit target at +6.0%. The system caps exposure at 8 concurrent positions. Position sizing is rule-based: risk 1.5% of equity per position; scale to 2.0% on a confirmed setup.

What can go wrong: every strategy has a regime where it underperforms. Mean Reversion — US Large Cap is no exception — drawdowns of 9.2% (and sometimes worse) are part of the distribution of outcomes. Past performance does not predict future returns; the edge may erode as markets change. This page exists to teach the mechanics, not to promise results.