RLS Mean Reversion — Futures 15M
Recursive Least Squares adaptive filter with dynamic bands. Enters on mean reversion signals with adaptive band width.
FREE
Equity Curve
BACKTEST+$3,212.50
Net P&L over 569 trades
Performance Metrics
1.14
Profitable
46.8%
266 winning trades
+$3,212.50
Avg: $5.65/trade
0.88
Moderate
$2,298.75
Peak to trough
569
Avg $5.65 per trade
Mar 1, 2024 — Feb 10, 2026
MES • 15M
Strategy Description
An adaptive mean-reversion strategy using Recursive Least Squares (RLS) for online parameter estimation.
Strategy Logic: - RLS filter continuously adapts to changing price dynamics - Dynamic bands expand/contract based on prediction error - Enter long at lower band, short at upper band - Exits when price returns to RLS fair value
569 trades with a 1.14 PF — consistent but modest edge. Best paired with a trend filter for improved performance.
Testing Details
Platform Support
TradingView
Pine Script v6
Tags
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Live TradesLINKED
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