I am trying to test the Mean Reversion system from http://www.financial-hacker.com/build-better-strategies-part-2-model-based-systems/

I am testing it on index SPY. I use 2005-2010 EOD data for this test.

I am not sure if I am doing something wrong, but the system doesn't produce trades. So it looks that this system is not suitable for EOD trading on index SPY.

Does it mean that SPY index is not mean reverting. It is trending most of the time? Does it mean that all mean reverting systems wouldn't work on this index or does it mean that only the Hurst exponent is not suitable for this market and time series, but some other mean reverting system might work?

If anyone can write an opinion, it would help me to understand, thanks.

My code:
Code:
/*
Mean reversion system by Financial-Hacker.com
http://www.financial-hacker.com/build-better-strategies-part-2-model-based-systems/
*/

#include <profile.c>

function run()
{
	StartDate = 20050101;
	EndDate = 20101231;
	BarPeriod = 1440; // 1 day
	BarZone = ET; // SPY is in New York
	BarOffset = 15*60 + 50; // set the bar end to 15:50, 10 minutes before the market close	
	LookBack = 1000;
	asset("SPY");
	set(PRELOAD|LOGFILE|PLOTNOW);
	PlotHeight1 = 800; // height of the chart with results
	PlotWidth = 2000;

	vars Price = series(price());
	vars Filtered = series(HighPass(Price,30));
	vars Signal = series(FisherN(Filtered,500));
	vars HurstVar = series(Hurst(Price,500));
	var Threshold = 1.0;

	if(Hurst(Price,500) < 0.5) { // do we have mean reversion?
		if(crossUnder(Signal,-Threshold))
			reverseLong(1); 
		else if(crossOver(Signal,Threshold))
			reverseShort(1);
	}
	
	plot("HurstVar",HurstVar,3,DARKGREEN);
	plot("HighPass",Filtered,3,BLUE);
	plot("FisherN",Signal,3,BLUE);
}


The result: