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Weekly Mean-Reversion and Cross Sectional Momentum Performance Update

Year-to-date performance of two mean-reversion strategies and one cross sectional momentum strategy in the weekly timeframe.

The two mean-reversion strategies and the momentum cross-sectional strategy are from a group of seven strategies in the weekly timeframe used in our Premium Market Signals Reports.

Strategy Name Type  Market YTD (%)
MRSPYW Mean-reversion SPY ETF 10.9%
MRDOWW Mean-reversion Dow 30 stocks 12.2%
ETFNRW Momentum Group of ETFs 14.9%

Below is a chart of year-to-date equity of the strategies and comparison to S&P 500 equity.

ETFRNW momentum outperforms S&P 500 year-to-date with 14.9% return versus 13.9%. MRSPYW remained out of the market for an extended period but all four trades so far this year have been winners.

MRDOWW benefited from the surge in NKE this week and gained nearly 6%.

MRDOWW strategy was long HD, UNH, NKE, WMT, CAT and JNJ this week. The surge in NKE contributed about 3.4% to the 6% gain of the strategy for the week.

Weekly Market signals also include two more momentum strategies for ETFs, a trend-following strategy for SPY and a long/short strategy for Dow 30 stocks. Signals for the strategies are for the open of the first day of the week. For a sample report click here. 

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Disclaimer:  No part of the analysis in this blog constitutes a trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.

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