An update on year-to-date performance of five mean-reversion strategies in daily and weekly timeframes for SPY ETF, Dow 30 stocks and a portfolio of futures contracts.
Performance is based on backtests. Performance period is from 01/02/2019 to 11/08/2019. For other strategy details follow corresponding links. Note: This is unleveraged performance and in case of futures, position size is constant.
|Strategy||Return||Max. DD||More information|
|SPY daily||10.3%||-6.1%||Click here for daily|
|SPY weekly*||13.9%||-3.7%||Click here for weekly|
|Dow 30 stocks daily||11.9%||-4.3%||Click here for daily|
|Dow 30 stocks weekly*||9.8%||-5.6%||Click here for weekly|
|Futures daily||15.5%||-10.2%||Click here for daily|
*Signals available in weekly Market Signals reports.
The mean-reversion strategy is not data-mined but based on a formula from a text on probability theory. The logic of this strategy is available for sale to professional traders and hedge funds subject to acceptance of a non-disclosure agreement.
Data provider: Norgate Data
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