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Mean-Reversion Signals

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The mean-reversion strategy uses the PSI5 algo to generate long-only signals for two 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 24, 2024, after the close of the market.

Summary

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Performance (backtests)

Start of Signal Reports* +10.4% return, -6.5% MDD, 60 trades, 75.0% win rate
Year-to-date +9.3% return, -5.5% MDD, 31 trades, 80.7% 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* +25.3% return, -19.7% MDD, 60 trades, 71.7% win rate
Year-to-date +26.9% return, -15.9% MDD, 31 trades, 80.7% 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.