The mean-reversion strategy uses the PSI5 algo to generate long-only signals for SPY and QQQ ETFs in the daily timeframe. Registration information is provided below. The updates are typically available by 7:00 a.m. (ET) on weekdays. We do not send any email notifications of updates. Click here to register.
Last update: May 6, 2024, after the close of the market.
Summary
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Performance (backtests)
| Start of Signal Reports* | +9.5% return, -6.5% MDD, 56 trades, 73.2% win rate |
| Year-to-date | +8.4% return, -5.5% MDD, 27 trades, 77.8% win rate |
* Start date: June 27, 2023. The allocation to the signals of the two ETFs is 50% of closed equity.
The following pairs can also be used in place of SPY and QQQ:
SSO and QLD for 2x leverage.
SPXL and TQQQ for 3x leverage.
Performance (backtests) with SPXL and TQQQ
| Start of Signal Reports* | +22.4% return, -19.7% MDD, 56 trades, 69.6% win rate |
| Year-to-date | +24.0% return, -15.9% MDD, 27 trades, 77.8% win rate |
* Start date: June 27, 2023. The allocation to the signals of the two ETFs is 50% of closed equity.
Note that the use of leveraged ETFs will result in significant increases in equity volatility and the maximum drawdown.
Historical Performance (Backtests)
SPY and QQQ ETFs (50% allocation to each ETF, $0.01/share commission)
Win rate: 68.9%, 1,364 Trades, average holding period: 4.9 days, Exposure: 43.4%
Access to daily mean-reversion signals requires registering for a Mean-Reversion Signals subscription. The price is $99 for one month. Click here to register.
Disclaimer: The Daily Mean-Reversion Signals are provided for informational purposes only. The author of this website is not a registered financial adviser. Before subscribing, please read our full Disclaimer and Terms and Conditions. Acceptance of the terms and conditions is required before subscribing. Mean-reversion strategies pose high risks because the trades typically go against the short-term trend, and stop-loss orders are not used because they destroy profitability.
Read the full disclaimer here.