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An Excellent Week For Mean-Reversion

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.

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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.

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