Screens / Mean Reversion
Mean Reversion stock screeners, backtested
Mean-reversion screens buy short-term weakness, betting that stretched stocks snap back toward their average. We tested 6 mean reversion screens on 518 S&P 500 and Nasdaq-100 stocks from 2021-10-13 to 2026-10-12: 140,825 signals in total. Ranked by 5-day hit rate; compare against SPY's average move on the same days.
Mean Reversion screens ranked
| # | Screen | Hit rate | Avg 5d | SPY 5d | Max DD | Signals |
|---|---|---|---|---|---|---|
| 1 | RSI(14) Oversold Mean Reversion | 57.9% | +0.88% | +0.85% | -29.9% | 22,196 |
| 2 | 10% Weekly Drop Mean Reversion | 57.3% | +1.45% | +0.94% | -49.4% | 13,900 |
| 3 | Close Below Lower Bollinger Mean Reversion | 54.4% | +0.54% | +0.60% | -21.9% | 30,739 |
| 4 | RSI(2) Oversold Bounce Mean Reversion | 53.9% | +0.41% | +0.32% | -22.8% | 34,000 |
| 5 | Hammer at 20-Day Low Mean Reversion | 53.6% | +0.38% | +0.30% | -24.1% | 6,814 |
| 6 | Three Down Days Above 200 SMA Mean Reversion | 53.5% | +0.42% | +0.31% | -24.0% | 33,176 |
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Simulated daily-bar backtest; no fees or slippage; survivorship-biased universe. See methodology. Not financial advice.