Congrats. While it can be exciting to come up with a profitable algorithm, publicizing a mean reversion algorithm is counterproductive if you intended to make a

Congrats. While it can be exciting to come up with a profitable algorithm, publicizing a mean reversion algorithm is counterproductive if you intended to make any money with it. The returns here are low enough that it could stay under the radar for a while, but all the same. Some other metrics to measure your performance are drawdown, best month/worst month (to see if a small number of events account for the majority of returns), and Sharpe ratio. As other commenters said, try backtesting with fees/slippage. Even if there aren't fees now, you should include fees at points in history when there were higher fees. HFT's have been forced to tighten their spreads as retail traders have become more liquid with lower/nonexistent fees, so that will affect any mean reversion strategy being tested across fee change periods. I do like the idea of spot mean reverting on large indices. Takes a lot of risk out of it (while a company can tank overnight, any decently weighted index will lack that volatility).