Validating Mean Reversion on Micro E-mini S&P
What if your trading strategy could execute trades while you sleep, capitalizing on the statistical tendency of prices to return to an average? Mean rev...
What if your trading strategy could execute trades while you sleep, capitalizing on the statistical tendency of prices to return to an average? Mean reversion is the most discussed edge in trading, yet it remains the least measured until you apply rigorous backtesting to instruments like the Micro E-mini S&P (MES). Many traders assume price will always snap back after a sharp move, but without data, this is just an opinion. When you ask for actual numbers—how often, how far, and how fast—most get vague answers. We can change that by using NinjaTrader 8 Market Replay to simulate these scenarios with realistic slippage modeling. This approach turns a theoretical concept into a measurable, repeatable process. Key fact: According to a study of 565 weeks of NQ futures data, price returns to the Weekly Open 69.7% of the time, but this rate jumps to 92.9% when the Tuesday open is within 0.25% of that level. Mean reversion is the tendency of asset prices to move back toward a reference level after deviating from it. In futures trading, this reference is often a moving average, a specific price level, or a statistical band.