MES 15m High Win Rate Mean Reversion — Strategy by spagnolomatteo21
By spagnolomatteo21
Performance Metrics
- Author: spagnolomatteo21
- Symbol: CME_MINI:MES1!
- Timeframe: 5 minutes
- Net P&L: +1,672.50 USD (+0.17%)
- Win Rate: 60.0%
- Profit Factor: 1.764
- Max Drawdown: 435.00 USD (0.04%)
- Total Trades: 35
Description
Core IdeaIt assumes:Most 15-minute moves in normal conditions revert back toward fair value.Fair value = VWAP + 20-period meanIt is not a trend strategy.It bets against short-term overextension.Market Environment It WantsThis system performs best when:Market is rotationalVolatility is moderateNo major macro catalystInstitutions are rebalancing inventoryIt avoids:Strong breakout daysExpansion after newsPersistent trend sessionsStep-By-Step Logic1️⃣ Volatility Compression FilterIt checks:ATR (14)Compared to its 30-bar averageIf ATR is too high → no trade.This attempts to skip news days and expansion regimes.2️⃣ Extreme DetectionOn the 15-minute chart:It calculates:20-period mean2 standard deviation Bollinger BandsVWAPA trade triggers only when:For Long:Price touches lower 2σ bandPrice is below VWAPFor Short:Price touches upper 2σ bandPrice is above VWAPThis defines “statistical stretch.”3️⃣ Position Structure6 MES contracts5 point stop (~$150 risk)6–6.5 point target (~$180–$195 reward)Max 2 trades per dayOne trade per directionWhy It Has Higher Win RateBecause:It trades exhaustion, not continuation.It enters after price is statistically stretched.Target is smaller than stop multiple systems.It avoids high volatility regimes.Mean reversion strategies win often because markets rotate more than they trend.What It Is NotIt is not:A breakout systemA momentum systemA trend following modelA high daily payout generatorIt is a:Low-frequency, moderate-edge, capital-preservation framework.Risk CharacteristicsFrom your backtest:Win rate ≈ 60%Profit factor ≈ 1.7Max drawdown ≈ $435Low trade countThat is healthy.But understand:When trend days hit, it will lose.If volatility regime changes structurally, edge degrades.StrengthsSmooth equity curveCompatible with prop trailing drawdownEmotionally manageablePredictable trade frequencyWeaknessesUnderperforms in trending monthsCan have clusters of 3–4 lossesNeeds volatility filter to stay safeWon’t consistently produce $350 every dayPsychological FitThis system fits traders who:Prefer frequent small winsCan accept occasional flat weeksCare more about survival than speedAvoid revenge trading