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Mean-Reversion Performance Update

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

Technical and quantitative analysis of major stock indexes and 34 popular ETFs are included in our Weekly Premium Reports. Market signals for position traders are offered by our premium Market Signals service

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