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Mean-reversion signals are generated by two long-only strategies trading SPY in daily timeframe. Leveraged ETFs (UPRO, SPXL, SSO) can be used for higher performance at increased risk. Updates are posted before the market open when there are new signals. A sample report and historical performance details are included below. 

Mean-Reversion Signals Subscriptions

Price: Currently we do not accept new subscribers

Performance (January 3, 2017 – December 29, 2017 in SPY)

Strategy Return* Max. DD Win rate Trades Exposure
MR1 +9.0% -1.9% 81% 21 44%
MR5 +10.3% -1.3% 94.1% 17 34%

*Adjusted SPY prices. $0.01 per share commission. No leverage is included. Based on backtests.

Performance (January 3, 2017 – December 29, 2017 in UPRO)

Strategy Return* Max. DD Win rate Trades Exposure
MR1 +26.6% -5.5% 81.0% 21 44%
MR5 +32.6% -3.8% 94.1% 17 34%

*Performance is in UPRO net of $0.01 per share commission. Based on backtests. 

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. Note that performance results are based on backtests. Before subscribing please read our Disclaimer and Terms and Conditions.

MEAN-REVERSION STRATEGY PERFORMANCE

2017 performance in SPY: 01/03/2017 – 12/29/2017

MR1

MR5

Equity curves from SPY inception to 12/29/2017 (Click on charts to enlarge.)

MR1

MR5

Performance results from SPY inception to 12/29/2017. All backtests are based on fully invested equity and commission of $0.01 per share. For UPRO results click here

Parameter MR1 MR5 B&H
CAR 8.61% 8.84% 9.53%
Return 683% 728% 866.6%
Max. DD -27% -26% -55.2%
Sharpe 0.60 0.63 0.52
Sortino 0.95 0.98 0.83
Exposure 44% 42% 100%
Win rate 69% 71.3%
Profit factor 1.76 1.91
CAR/MaxDD 0.32 0.34 0.17
Total trades 531 506 1
Avg. Bars in trades 6.3 6.2
Avg. Profit% 1.36% 1.37%
Avg. Loss% -1.66% -1.88%
Avg. Profit/Loss% 0.41% 0.44%

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.