Daily Mean Reversion Update: June 15, 2026
Performance of strategies since inception
The update includes the data as of the close of the market on Monday, June 15, 2026. We remind you that we have added a new bonus strategy to the suite of mean reversion strategies that trades gold (GLD ETF) with signals from other markets. The new bonus strategy generates weekly signals, and since it was recently added, there have been no new signals yet.
E-Mini Mean Reversion Strategy
This strategy trades the E-mini futures, one contract per $50,000 of closed equity.
Start date: May 21, 2025
Total return: +63%
Sharpe ratio: 1.39
Momentum and Mean-Reversion Switching
This strategy trades the SPY, QQQ, TLT, and GLD ETFs with equal allocation (25%), considering both momentum and mean reversion regimes.
Start date: October 9, 2025
Total return: +10.7%
Sharpe ratio: 1.47
Main Mean Reversion Strategy
This strategy trades the SPY and QQQ ETFs with equal allocations (50%), and, when market conditions allow, the 2x SSO and QLD ETFs.
Start date: June 27, 2023
Total return: +39.9%
Sharpe ratio: 1.04
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