Given a real number τ , we study the approximation of τ by signed harmonic sums σN (τ ) := n≤N sn(τ )/n, where the sequence of signs (sN (τ )) N ∈N is defined "greedily" by setting sN+1(τ ) := +1 if σN (τ ) ≤ τ , and sN+1(τ ) := −1 otherwise. More precisely, we compute the limit points and the decay rate of the sequence (σN (τ ) − τ ) N ∈N . Moreover, we give an accurate description of the behavior of the sequence of signs (sN (τ )) N ∈N , highlighting a surprising connection with the Thue-Morse sequence.