Performance Of Three Mean Reversion Strategies [Premium Articles]

We compare year-to-date performance of three mean reversion strategies for trading SPY: RSI2, WR2 and IBS. The RSI2 strategy is generating losses while the WR2 strategy outperforms the IBS strategy and also buy and hold. Since 2010, the IBS strategy has performed best, with WR2 and RSI2 following in that order.

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