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 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.
The rules of eight 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 for all eight strategies is $2,995. Contact us for any available discounts using the form below.
| 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 |
| D10S1 | Tail Hunting | Short-only Russell 3000 Stocks |
| ETFMR | Mean-reversion | Long-only SPY and QQQ |
| VOLZ | Volatility | Long and short |
| ETFSEAS | Seasonality Strategy | Long SPY, TLT, and GLD |
*Also sold separately.
Performance based on backtests (Last update: November 20, 2023)
| Strategy | Start Date | CAGR | Max. DD | Sharpe | YTD | Correlation* | Skew** |
| MRETF | 01/02/2002 | 5.0% | -9.2% | 0.75 | 1.1% | +0.44 | -1.1 |
| MRETFLS | 01/02/2003 | 5.2% | -15.2% | 0.55 | -10.2% | +0.10 | -1.7 |
| B2S2 | 01/02/1993 | 17.2% | -30.5% | 1.00 | 7.9% | +0.85 | -1.2 |
| TFDLS | 01/03/2000 | 13.4% | -31.8% | 0.73 | 1.5% | -0.12 | +3.9 |
| D10S1 | 01/02/2002 | 14.5% | -15.4% | 1.22 | 9.2% | -0.21 | +3.2 |
| MRFREE | 01/02/2003 | 9.5% | -22.9% | 0.78 | 13.7% | +0.66 | -1.1 |
| VOLZ | 01/02/2012 | 39.2% | -60.9% | 0.77 | 26.8% | +0.23 | +4.4 |
| ETFSEAS | 1/03/2005 | 8.1% | -13.3% | 0.90 | 13.3% | +0.17 | +0.9 |
*Correlation with S&P 500 index. ** Skew of trade % Profit/Loss.
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.
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-July 13, 2023
- PSI5 Trend-Following Performance Update-June 9, 2023
- PSI5 Mean-Reversion 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?
D10S1 Trading Strategy For Russell 3000 Stocks
This is a simple strategy for trading Russell 3000 stocks short-only.
Application examples
Trading Strategy For Russell 3000 Stocks
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
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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.
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