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. Typically, the @priceactionlab X account announces updates to this page. Read the Disclaimer below before subscribing.
Last update: November 20, 2024, after the close of the market. Click here to register.
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Performance (backtests)
| Start of Signal Reports* | +19.1% return, -6.6% MDD, 85 trades, 75.3% win rate |
| Year-to-date | +18.7% return, -5.5% MDD, 57 trades, 78.9% win rate |
* Start date: June 27, 2023. The allocation to the signals of the two ETFs is 50% of closed equity. Performance is indicative only and depends on execution, slippage, and commissions.
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* | +53.1% return, -21.1% MDD, 85 trades, 71.7% win rate |
| Year-to-date | +57.8% return, -15.9% MDD, 57 trades, 77.2% win rate |
* Start date: June 27, 2023. The allocation to the signals of the two ETFs is 50% of closed equity. Performance is indicative only and depends on execution, slippage, and commissions.
Note that the use of leveraged ETFs will result in significant increases in equity volatility and the maximum drawdown.
Daily Equity Performance (SPY and QQQ): 06/27/2023 – 11/15/2024 (updated weekly)
Daily Equity Performance (SPXL and TQQQ): 06/27/2023 – 11/15/2024 (updated weekly)
Historical Performance (Backtests) Ending 12/29/2023
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%. Performance is indicative only and depends on execution, slippage, and commissions.
Mean-waiting time for a new signal
The chart below shows the number of days without a long signal, i.e., the time, measured in daily bars, between two successive long signals in SPY ETF.
The mean waiting time between signals has been 6.5 days, and 3-standard deviations are at 23.2 days.
The chart below shows the number of days without a long signal, i.e., the time, measured in daily bars, between two successive long signals in QQQ ETF.
The mean waiting time between signals has been 4 days, and the three-standard deviations are 14.3 days.
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Disclaimer: The Daily Mean-Reversion Signals (Signals) are provided for informational purposes only and do not constitute investment advice or actionable content. We do not warrant the accuracy, completeness, fitness, or timeliness for any particular purposes of the Signals. Under no circumstances should the Signals be treated as financial advice. The author of this website is not a registered financial adviser. Before subscribing, read our full Disclaimer and Terms and Conditions.
A few comments about mean-reversion strategies
Mean-reversion strategies are risky because the signals are designed to go against the short-term trend. Most strategies do not use a stop loss because it destroys profitability.
Mean-reversion strategies are for professional traders who understand risk and can manage it effectively.
Amateur traders can lose money even when using a profitable mean-reversion strategy because of fear of taking signals that go against the short-term trend.
Usually, professionals allocate a small percentage of capital to mean-reversion strategies.