This week was very good for weekly mean-reversion signals in DJIA stocks. Below are some details.
We provide mean-reversion signals for DJIA stocks in our weekly premium analysis for informational purposes only. The last two week were excellent with average gains of +1.7% for last week and +1.37% for this week. Note that performance is measured from the open to the close of the week. The DJIA index gained 1.74% in the last two weeks from close to close.
The mean-reversion signals are generated by our proprietary PSI5 (MR5) algo.
Specifically, last week there were long signals for AXP, CVX, HD and IBM with open to close returns of -0.55%, +4.22%, +2.52% and -0.7%, respectively. The average was 1.37%. The rally in CVX shown in the weekly chart below contributed the most:
CVX rose 4.4% on the week and 4.2% from the open to the close of the week. HD also did well with a gain of 3% for the week and 2.52% from open to close.
Both CVX and HD broke to new all-time highs this week. As far as weekly mean-reversion we expect the good performance to continue.
Note that in the weekly premium reports we only provide the mean-reversion entry signals of DJIA stocks for informational purposes only but these do not constitute a systematic trading strategy, such as the one discussed in this article. Usually mean-reversion signals exit at the open of the week after the entry occurs but this is not always the case. The average holding period is about 2.86 weeks.
If you have any questions or comments, happy to connect on Twitter: @mikeharrisNY
Charting and backtesting program: Amibroker
Quantitative analysis of Dow-30 stocks and 30 popular ETFs is included in our Weekly Premium Report. Market signals for longer-term traders are offered by our premium Market Signals service. Mean-reversion signals for short-term SPY traders are provided in our Mean Reversion report.