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Mean-reversion signals are generated by four long-only strategies trading SPY. Updates are posted before the market open when there are new signals. A sample report and performance details are included below. There are new signals as of the market close on 02/03/2017.

Mean-Reversion Signals Subscriptions

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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 from October 18, 2016. Note: this report and signals are outdated.

Signal Date indicates when a signal was generated at the close. The trade input to Open or Close a position (Action) is at the open of the following trading day. These are long-only algos generating signals in SPY. Signals are listed in chronological descending order. Signals with open positions are shown in bold.

Signal Date Algo Action
10/18/2016 PSI5 Close
10/14/2016 IBS Open
10/11/2016 PSI5 Open
10/06/2016 WR2 Close
10/04/2016 WR2 Open
09/21/2016 RSI2 Close

Notes

  • The mean-reversion algos are described in this premium article, except PSI5, which is proprietary. A subscription to market signals or ultimate premium package is needed to access the article. 
  • Signals for multiple positions are not included (only the first signal to open is reported)
  • Mean-reversion trading carries high risk since there are no stops are used. 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. Signals may be missed from time to time due to technical reasons or data discrepancies.
  • We consider four strategies because it is impossible to know when a specific strategy will stop working.  In case that happens, the impact may be minimized until it is removed.

Mean-reversion algo performance

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

WR2

IBS

RSI2

PSI5

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

WR2

IBS

RSI2

PSI5

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 WR2 IBS RSI2 PSI5
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:  Mean-reversion signals are offered for informational purposes only and do not constitute trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.

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.