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.
subscribe to our mailing list
Thank you for subscribing.
Something went wrong.
we respect your privacy
© 2011 – 2018 Michael Harris. All Rights Reserved. We grant a revocable permission to create a hyperlink to this blog subject to certain Terms and Conditions. Any unauthorized copy, reproduction, distribution, publication, display, modification, or transmission of any part of this blog is strictly prohibited without prior written permission.