Weekly Strategy Performance Recap – May 11, 2018

Performance results of systematic strategies as of close of May 11, 2018.

Strategy Previous week YTD Change
SPYLSMAW +0.1% +2.7% +2.6%
ETF2RW -1.2% +0.3% +1.5%
ETF4RW +0.9% +2.4% +1.5%
DOWW L/S Top/Bottom 3 -5.1% -5.7% -0.6%
FAANG L/S +15.7% +17.5% +1.8%
DOW MR5 Mean-reversion  +1.5% +1.9% +1.9%

FAANG L/S and Dow Mean-reversion weekly signals are included in our weekly premium analysis. The weekly signals of the other strategies are included in our weekly premium signals report that also includes the weekly premium analysis as a bonus.

Comments

No change in signals for trend-following and rotation strategies: SPYLSMAW, ETF2RW and ETF4RW.

Weekly top/bottom 3 DOW performance was impacted by a short in AAPL two weeks ago and by constant mean-reversion.

Weekly FAANG recovered from the AAPL short two weeks ago. Below is the equity curve since 2016.

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  • The above performance results are based on backtests. Please read our Disclaimer.
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