Some assets (like commodities and stocks) tend to trend more than others (like FOREX pairs). In order to investigate the performance of our simplest RSI mean reversion strategy, we will run a Zorro Trader back-test on the EUR/USD pairs. This pair is supposed to mean revert much more than the SPY exchange traded fund. The result of trading the strategy on the SPY is in the back-test equity curve picture above. Not so good during trends, but pretty good in trading ranges.
by Algo Mike
Experienced algorithmic and quantitative trading professional.