We study the nonlinear rheology of a glass-forming binary mixture under the reversal of shear flow using molecular dynamics simulations and a schematic model of the mode-coupling theory of the glass transition (MCT). Memory effects lead to a history-dependent response, as exemplified by the vanishing of a stress-overshoot phenomenon in the stress-strain curves of the sheared liquid, and a change in the apparent elastic coefficients around states with zero stress. We investigate the various retarded contributions to the stress response at a given time schematically within MCT. The connection of this macroscopic response to single-particle motion is demonstrated using molecular-dynamics simulation.