Trading success depends on three key factors: sufficient capitalization, discipline, and edge. We cannot do anything about the first two, but we can try to help with the third. The strategies we have developed are based on the following two principles: simplicity and economic value.
Simplicity reduces the probability of overfitting and data-mining bias. Economic value is necessary in the form of reasonable alpha and risk-adjusted returns.
The strategies are suitable for traders with basic knowledge of programming and testing rules on backtesting platforms. We provide the rules only and code examples in the case of the PSI5 strat/algo.
PSI5 Strategy/Algo
The PSI5 strategy/algo is based on a formula from a probability book and is sold subject to acceptance of a non-disclosure agreement. Please read our disclaimer before ordering. Contact us below using the form for a copy of the agreement and payment instructions.
| Strategy/Algos | Description | Price |
| PSI5 | Mean-reversion/Trend-following algo/strategy | Contact us |
Limited-time offers or algo sales may be terminated without prior notice. All sales are final, and no refunds will be made on any purchase. No refunds are given for cancellations or under any circumstances, and there is no exception.
Delivery: We provide a PDF with a detailed description of the PSI5 strategy/algo rules for informational purposes only. We include mean-reversion examples of strategies for ETFs and stocks and a trend-following example for futures, including the Amibroker AFL code.
Terms: All sales are final, and no refunds will be made on any purchase. No refunds are given for cancellations or under any circumstances, and there is no exception.
A new strategy addition on April 3, 2024: ETFMO
The MRMOM strategy has taken the place of the D10S1 strategy as of March 21, 2024. The D10S1 strategy may be offered as a bonus as part of special sales.
The rules of nine strategies are available for sale in a bundle. The rules we provide are sufficient for programming the strategies on a trading platform. The strategies are not data-mined and have simple rules. Do not expect anything overly complicated. Check the strategy articles for any periodic updates.
The price of the bundle is $3,995. This offer will end without notice.
| Strategy | Description | Markets |
| MRETF | Mean-reversion/breakouts | Long-only SPY, QQQ, TLT |
| MRETFLS* | Mean-reversion/breakouts | Long-short SPY, QQQ, TLT |
| B2S2* | Mean-reversion | Long-only Dow 30 stocks |
| TFDLS* | Trend-following | 23 Futures, long-short |
| MRMOM* | Regime switching | Long-only SPY, QQQ, TLT, and GLD |
| ETFMR | Mean-reversion | Long-only SPY and QQQ |
| VOLZ | Volatility | Long and short |
| ETFSEAS | Seasonality Strategy | Long SPY, TLT, and GLD |
| ETFMO | Seasonality Strategy | Long-Short Leveraged ETFs |
*Also sold separately.
Performance based on backtests (Last update: December 29, 2023)*
| Strategy | Start Year | CAGR | MDD | Sharpe | Correlation | Skew | Beta | Alpha |
| MRETF | 2002 | 5.0% | -9.2% | 0.75 | +0.40 | -0.37 | 0.14 | 2.7% |
| MRETFLS | 2002 | 5.6% | -17.2% | 0.62 | +0.06 | -0.20 | 0.03 | 3.7% |
| B2S2 | 1993 | 17.4% | -30.5% | 1.00 | +0.85 | +0.51 | 0.79 | 4.2% |
| TFDLS | 2000 | 13.1% | -32.3% | 0.70 | -0.13 | -0.39 | -0.13 | 6.4% |
| MRMOM | 2003 | 10.1% | -16.5% | 1.10 | +0.67 | +0.18 | 0.31 | 4.1% |
| ETFMR | 2003 | 9.4% | -22.9% | 0.77 | +0.67 | +0.91 | 0.44 | 3.3% |
| VOLZ | 2012 | 68.5% | -60.9% | 1.35 | +0.03 | +1.75 | 0.09 | 16.6% |
| ETFSEAS | 2005 | 8.0% | -13.3% | 0.90 | +0.22 | +3.76 | 0.10 | 4.6% |
| ETFMO1 | 2010 | 14.2% | -21.3 | 0.92 | -0.1 | +1.42 | -0.1 | 8.6% |
*The correlation, beta, and alpha are with SPY ETF. The skew is for the equity curve’s daily changes.
1Long-only version performance.
Delivery: The trading rules are in the form of “locked content” in the articles linked above and are unlocked after paying for a subscription to the strategies. For more information and to order, use the form below.
Terms: All sales are final, and no refunds will be made on any purchase. No refunds are given for cancellations or under any circumstances, and there is no exception.
Strategy code: We provide the rules in plain English. The customer will need to convert those rules to code before testing them on a backtesting platform. We use Amibroker AFL, and our support team might be able to help with customer-developed code in that language.
Data requirements: We use Norgate Data. The B2S2 strategy requires delisted series for accurate backtesting. If delisted series are not available, the results will be approximate. Testing the TFDLS strategy requires continuous back-adjusted futures contracts.
PSI5 Algo for Convergent and Divergent Strategies
The algo is not data-mined but based on a formula from probability theory. This algo can be used for mean-reversion and trend-following to trade portfolios of large-cap stocks, ETFs, and futures contracts.
Timeframe: daily and weekly.
Application examples and general information
- PSI5 Mean-Reversion Performance Update For 2023
- PSI5 Trend-Following Performance Update-June 9, 2023
- Combining Trend-Following and Mean-Reversion
- PSI5 Algo Trend-following Performance
- PSI5 Algo Mean-Reversion Performance
- PSI5 Mean-Reversion Win Rate
- Structural Versus Random Edges
- Large-cap trading in a weekly timeframe
- PSI5 Strategy Performance in Weekly SPY ETF
- Mean-Reversion Strategy For Futures
- Weekly Mean-Reversion Strategy For Futures
- Importance of Stability of Trading Strategy Win Rate
B2S2 Mean-Reversion Strategy For Trading Dow 30 Stocks
This is a strategy for trading Dow 30 stocks with no parameters to optimize and no filters.
Application examples
Trading Strategy For Dow 30 Stocks
A simple trading strategy with exceptional performance
This is a long-only mean-reversion strategy for trading SPY, QQQ, and TLT based on price breakouts.
Application examples
Mean-Reversion Strategy For SPY, QQQ, and TLT
MRETFLS Mean-Reversion Strategy
This is a long-short mean-reversion strategy for trading SPY, QQQ, and TLT based on price breakouts.
Application examples
Mean-Reversion Strategy For SPY, QQQ, and TLT
TFDLS Trend-following Strategy
This is a long-short trend-following strategy for trading futures contracts based on price breakouts.
Application examples
Trend-Following Strategy For Trading Futures
Dynamic Stops In Trend-Following. Do they Make A Difference?
Mean-reversion/Trend following Regime Switching
A long-only ETF trading strategy with mean-reversion and momentum regime switching
Application examples
Mean-Reversion and Momentum Regime Switching
Mean-Reversion Strategy For SPY and QQQ ETFs
The long-only mean-reversion strategy for trading SPY and QQQ is based on two popular indicators.
Application examples
Mean-Reversion Strategy For SPY and QQQ ETFs
This is a high-reward, high-risk long-short volatility strategy.
Application examples
The ETF seasonality strategy trades long-only SPY, TLT, and GLD ETFs.
Application examples
Leveraged ETF Seasonality Strategy
The strategy trades one leveraged ETF.
Application examples
Leveraged ETF seasonality strategy
To place an order, contact us below. Please include the following:
For updated performance, contact us.
Disclaimer: The strategies are provided for informational purposes only and do not constitute investment advice. We do not warrant the accuracy, completeness, fitness, or timeliness of any particular purposes of any strategy. Under no circumstances the strategies should be treated as financial advice. Please read our Disclaimer and Terms and Conditions.
Copyright notice: Any unauthorized copy, reproduction, distribution, publication, display, modification, or transmission of any part of this report is strictly prohibited without prior written permission.