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Mean-reversion signals are generated by four long-only strategies trading SPY in daily timeframe. Updates are posted before the market open when there are new signals. A sample report and performance details are included below. 

Mean-Reversion Signals Subscriptions

Price: $245 for a three-month subscription




Mean-reversion signals are also offered with the Ultimate Premium Package.  Contact us for details
Terms: No refunds. You will receive the password for the Mean-reversion signals page by email within 48 hours from payment. Please read our disclaimer below.

Year-to-date performance (as of September 12, 2017)

Strategy Return* Max. DD Win rate Trades Exposure
MR0 +2.7% -2.5% 60% 15 34%
MR1 +5.8% -1.9% 76.5% 17 44%
MR2 +5.2% -0.9% 77.8% 9 16%
MR5 +8.7% -1.3% 92.3% 13 34%

*Performance is net of $0.01 per share commission. No leverage is included.

Disclaimer: The mean-reversion signals are provided as an educational trading tool for informational purposes only and do not constitute investment advice. We do not warrant the accuracy, completeness, fitness or timeliness for any particular purpose of the mean-reversion signals. Under no circumstances the mean-reversion signals should be treated as financial advice. Before subscribing please read our Disclaimer and Terms and Conditions.

SAMPLE REPORT

Sample report is as of the close of April 24, 2017. Note: this report and signals are now outdated.

Mean-reversion signals are generated by four long-only strategies. Updates are posted before the market open when there is a new signal.

How to interpret the signals listed in the table below

  • The strategies are long-only and generate signals for SPY
  • Signal Date indicates when an entry or exit signal was generated at the close of the day
  • The Action to Open (enter) or Close (exit) a position is for the open of the next trading day
  • Only the most recent signal of each strategy that results in a new open position is shown
  • Multiple signals are ignored, i.e., new long signals while a long petition is open are not shown
  • The status of each strategy is shown under Status as Long or Flat
  • Signals with open positions are shown in bold

Last updated: 04/24/2017 after the market close.

Signal Date Strategy Action Status
04/24/2017 MR0 Close Long
04/20/2017 MR5 Close Flat
04/20/2017 MR2 Close Flat
04/03/2017 MR1 Open Long

Click on image below to enlarge.

Important disclosures

  • Performance charts are available here.
  • Mean-reversion trading carries high risk since there are no stops. Most traders allocate to it only a small percentage of available capital in the range of 5% to 10% and some leverage it accordingly.  Please read the disclaimer below.
  • No claim is being made that the signal list is complete and accurate. Signals may be missed from time to time due to technical problems or data discrepancies.
  • For an article on trading multiple mean-reversion strategies click here
  • For the performance of the MR5 strategy since the financial crisis bottom click here.

Disclaimer: The mean-reversion signals are provided as an educational trading tool for informational purposes only and do not constitute investment advice. We do not warrant the accuracy, completeness, fitness or timeliness for any particular purposes of the mean-reversion signals. Under no circumstances the mean-reversion signals should be treated as financial advice. Before subscribing please read our Disclaimer and Terms and Conditions.

Copyright notice: Any unauthorized copy, reproduction, distribution, publication, display, modification, or transmission of any part of this report is strictly prohibited without prior written permission. 

MEAN-REVERSION STRATEGY PERFORMANCE

2016 performance 01/04/2016 – 12/30/2016

MR1

MR0

MR2

MR5

Equity curves from SPY inception to 12/30/2016 (Click on charts to enlarge.)

MR1

MR0

MR2

MR5

Performance results from SPY inception to 12/06/2016. All backtests are based on fully invested equity and commission of $0.01 per share. 

 

Parameter MR1 MR0 MR2 MR5
CAR 7.92% 11.11% 7.87% 8.74%
Return 520% 1,144% 513% 646%
Max. DD -27% 27% -24% -26%
Sharpe 0.55 0.82 0.68 0.61
Sortino 0.85 1.30 1.08 0.95
Exposure 44% 39% 22% 42%
Win rate 67% 67% 73% 70%
Profit factor 1.64 1.84 2.20 1.80
CAR/MaxDD 0.29 0.41 0.33 0.34
Total trades 510 720 270 490
Avg. Bars in trades 6 4 6 6
Avg. Profit% 1.38% 1.24% 1.63% 1.41%
Avg. Loss% -1.68% -1.40% -1.85% -1.89%
Avg. Profit/Loss% 0.38% 0.37% 0.70% 0.43%

Disclaimer: The mean-reversion signals are provided as an educational trading tool for informational purposes only and do not constitute investment advice. We do not warrant the accuracy, completeness, fitness or timeliness for any particular purposes of the mean-reversion signals. Under no circumstances the mean-reversion signals should be treated as financial advice. Before subscribing please read our Disclaimer and Terms and Conditions.

Copyright notice: Any unauthorized copy, reproduction, distribution, publication, display, modification, or transmission of any part of this report is strictly prohibited without prior written permission.