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SPY Mean-Reversion Statistics Update

Although the frequency of SPY mean-reversion signals has decreased recently, it is still within normal bounds as the statistics below show.

The chart below shows the number of days with no entry signal for our two mean-reversion strategies in SPY, MR1 and MR5.

It may be seen that there has been no signal for MR1 in the last 15 days and for MR5 in the last 12 days.

However, both latest counts of days with no signal are well-within normal bounds and historical behavior. There have been periods with no signals almost double in duration in years when mean-reversion algos had excellent performance.

We expect the frequency of mean-reversion signals in SPY to increase in the next month.

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