Mean reversion · Advanced · Daily monitoring required — intraday entry/exit
Intraday Jump MR
How it works, and when it doesn't.
Large gaps are emotional overreactions. Systematic buyers absorbing panic selling is the mechanism — the strategy profits from being the calm party in a fearful market.
Why it works
Intraday Jump Mean Reversion targets large overnight or intraday gap-downs in liquid ETFs. Statistical research shows that >2% gaps in SPY tend to partially revert within 1–3 trading days as panic sellers are absorbed by institutional buyers.
The signal logic
- Detect open-to-prior-close gap > 2% downside in SPY
- Enter long at market open with 2-ATR stop
- Exit at close of Day 3 or at 1% profit (whichever comes first)
When it fails
Gaps caused by genuine fundamental events (Lehman, COVID) that represent true re-pricing, not emotion. A -10% gap is rarely a buying opportunity.
- Best market
- Bull market dips, earnings overreaction environments
- Worst market
- Systematic bear markets, genuine fundamental shocks
Backtest
This is a research tool rather than a directional strategy; it has no live signal of its own.
Intraday Jump MR, live.
Re-scored after every close.
The platform runs this and 32 other strategies against the live tape each day — with the evidence behind every number.