I've heard ETFs mean revert more than stocks and certain ETFs mean revert more than other ETFs. Is this true? Does prior performance indicate future returns? I have a mean reversion system I'm backtesting. I ran it with 2400+ symbols (Stocks & ETFs) for the '94-'99 period. It generated 7,732 trades and showed good results (e.g. Sharpe ratio > 1). Then I sorted the symbol list by profit and skimmed off all the profitable symbols. I know if I run just the profitable symbols on the same time period I'll get fantastic results, but that certainly seems like cheating or data fitting. So I took just those profitable symbols (648 symbols), ran the backtest for the period '00-'09 and got worse results, but not terrible (9960 trades). So, does it make any sense to pick symbols that were profitable in the past?