Weekly Market Signals
Performance of SIX trading strategies (more information); Tactical asset allocation, mean reversion, cross-sectional momentum, and equity long-short with weekly and monthly updating.
Performance of the six strategy ensemble and benchmarks
Unlike most newsletters and “signal” providers, our core principle is to remain humble. This year so far, and despite unprecedented uncertainty due to major economic and geopolitical policy changes, the strategy ensemble has remained fairly robust and has delivered what it was designed to do: a low beta.
Let us clarify for the new subscribers, as the existing ones are already familiar with the nuances: no one will ever become rich in the short term by trading a strategy ensemble. The design aims to offer some protection to a portfolio. Although some subscribers consider only a subset of the strategies, the goals of the ensemble are to minimise volatility and drawdown and maximise long-term total return.
If you’re in need of dynamic risk management or are looking to deploy capital towards highly convex, asymmetric setups, please consider becoming a member of The Gryning Times and gain access to our Global Trend Report.
The most recent update for the FOUR asset allocation models can be found here.
Daily Mean Reversion is one of the strategies that is available as part of the “One Solution, Multiple Benefits” ten (10) strategy rule pack (more information).
Daily Mean Reversion
The mean-reversion strategy uses our algorithm to generate long-only signals for two ETFs and now with S&P 100 stocks in the daily timeframe. The updates are typically available by 7:00 a.m. (ET) on weekdays.
Daily Mean Reversion | Performance with SPY and QQQ (ytd)
* 50% SPY ETF and 50% QQQ ETF
Historical Performance Ending 01/03/2000-12/31/2024
SPY and QQQ ETFs (50% allocation to each ETF, $0.01/share commission)
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.
ES and NQ futures.
Win rate is 69.1%, 1,389 trades, average holding period is 4.8 days, exposure is 41.4%. Performance is indicative only and depends on execution, slippage, and commissions.
SPY: The mean waiting time between signals has been 6.5 days, and 3 standard deviations are at 23.2 days.
QQQ: The mean waiting time between signals has been 4 days, and 3 standard deviations are 14.3 days.
Daily Mean Reversion | Performance with S&P 100 stocks since March 24, 2025
Summary Table | Ten Strategy Pack
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 rules of 10 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.
Dynamic Three Bundle: Limited Time Offer
The Dynamic-3 bundle includes the rules of the following strategies. These long-only strategies operate in the daily timeframe (OHLC).
The special price of the Dynamic-3 bundle is £2000 ( BUY ), but this offer is only available for a limited time and will end without notice. This offer is valid for retail customers and traders.
The MRMOM strategy generates signals for GLD, QQQ, SPY, and TLT ETFs.
The ETFMR strategy generates signals for SPY and QQQ ETFs.
The ETFMO strategy generates signals for a leveraged ETF that operates independently of the equity markets. This simple strategy trades only a few days during each month and is uncorrelated to the stock market.
Delivery: The trading rules are in the form of “private content” sent out via email seven days after payment.
Terms: We make no refunds on any purchase, and all sales are final. 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.
