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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: $399  for a three-month subscription. Price subject to change or expire without notice.




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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.

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. 

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. 

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.

SAMPLE REPORT

Sample report is as of the close of December 6, 2017.

Note: this report and signals are now outdated.

Mean-reversion signals for SPY (or UPRO) are generated by two long-only strategies. Updates are posted before the market open when there are new signals.

Last updated: 12/06/2017 after the market close.

Signal Date Strategy Action Order Date Status
12/06/2017 MR5 Open 12/07/2017 Long
12/04/2017 MR1 Open 12/05/2017 Long

Click on image below to enlarge.

How to interpret the signals listed in the above table and chart

  • The strategies are long-only and generate signals for SPY (or URPO if leverage is desired)
  • 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
  • Positions are entered at the open of Order Date
  • Only the two most recent signals of each strategy  is shown in the table above
  • Multiple signals are ignored, i.e., new long signals while a long petition is open are not shown
  • The status of strategies is Long or Flat. Long turns to Flat when an exit signal is generated
  • Most recent signals are shown in bold.

Important disclosures

  • Year-to-date performance and backtests are available here and 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.

Related articles

A significant Improvement In Mean-Reversion Strategy Performance
The Remarkable Performance Of MR5 Mean-Reversion Strategy Continues in 2017
Using Leveraged ETFs With Mean-Reversion Strategies
Performance of the MR5 strategy since the financial crisis bottom

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 by any means is strictly prohibited without prior written permission. 

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.