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Mean Reversion

Bottom Bouncer

Stocks furthest from their 1-year low — proven rebound candidates.

S&P 500 Universe · Monthly Rebalance · Jan 2023 – May 2026

Growth of $100

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Bottom Bouncer
S&P 500

Performance Summary (2023–2026)

+221%
3-Year Cumulative Return
+118%
vs. S&P 500 (buy & hold)
1.45
Sharpe Ratio
-29%
Max Drawdown
49.5%
Annualized Return
36%
Monthly Turnover

How it's built

Sorts the S&P 500 by distance from their 260-day (~1-year) low and buys the names that have already started lifting off the bottom but haven't fully recovered. The signal targets the post-capitulation phase where panic sellers have cleared and value buyers begin accumulating.

Signals used
mom_close_to_260d_low

Why it works

Investor overreaction drives some stocks below fundamental value. Once they begin moving up off the low, that early rise reflects the unwinding of forced selling and the start of a rebuild phase. Captures the meat of recovery moves while avoiding pure falling-knife territory.

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Past performance is not indicative of future results. Backtests are simulated and do not account for transaction costs, slippage, taxes, or the impact of large orders on market prices. All figures shown are hypothetical. This is not investment advice. See our full disclaimer for details.