  Given a real number $\tau$, we study the approximation of $\tau$ by signed
harmonic sums $\sigma_N(\tau) := \sum_{n \leq N}{s_n(\tau)}/n$, where the
sequence of signs $(s_N(\tau))_{N \in\mathbb{N}}$ is defined "greedily" by
setting $s_{N+1}(\tau) := +1$ if $\sigma_N(\tau) \leq \tau$, and $s_{N+1}(\tau)
:= -1$ otherwise. Precisely, we compute the limit points and the decay rate of
the sequence $(\sigma_N(\tau)-\tau)_{N \in \mathbb{N}}$. Moreover, we give an
accurate description of the behavior of the sequence of signs
$(s_N(\tau))_{N\in\mathbb{N}}$, highlighting a surprising connection with the
Thue--Morse sequence.
