Mean reversion · issue of Nov 3, 2026 · Daily, at the close
The Closing-Range Trade
Buy the country ETF that closed weakest.
Real in every era, but it trades its whole book daily and breaks even near 4 bp per trade.
Reranked at every close: the three weakest closes are bought, the three strongest shorted, for one day.
Re-read at every close.
Exact positions, live levels and the robustness checks for this issue are on the Analyst plan. The stance above and the full record are open to everyone.
Track record
| Last 5 years | Since 2001 | Equal-weight, all 15 ETFs, since 2001 | |
|---|---|---|---|
| Annual return | 9.2% | 60.0% | 8.9% |
| Sharpe ratio | 0.66 | 3.17 | 0.50 |
| Worst drawdown | -29.5% | -29.5% | -61.0% |
A backtest with the issue's own costs, extended to the last close. Past performance does not guarantee future results.
Stance history
In the market 63 of the last 63 sessions, returning -2.4% across them. No change of stance in the window.
Research Lab
Written down before the results existed: Every 21 sessions after the issue returns between -3.8% and +16.0%: the range of 90% of the 6,478 such stretches in the backtest up to Nov 3, 2026.
No window has completed since the issue went out yet.
Check 1 is running: 6 of 21 sessions in, judged on Dec 3, 2026.
Standing check: the deepest fall since the issue is -6.2%, against a worst of -29.5% in the backtest — within it.
Checked by the program when each window completes and sealed into the record. Misses stay public; the record counts both ways.
The issue's numbers, reproduced
Every figure the issue printed, recomputed on the same window from the platform's own price history.
| Figure | In the issue | Recomputed | |
|---|---|---|---|
| Sharpe since 2020, after 2 bp costs | 1.12 | 1.12 | matches |
| Worst drawdown since 2020 | -29.5% | -29.5% | matches |
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