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.
Last update: April 25, 2024, after the close of the market.
Summary
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Performance (backtests)
| Start of Signal Reports* | +6.1% return, -6.5% MDD, 53 trades, 71.7% win rate |
| Year-to-date | +5.1% return, -5.5% MDD, 24 trades, 75.0% win rate |
* The start of signals was on 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.
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 $69.95 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.