Performance results of six systematic strategies as of close of June 1, 2018.
|Strategy||YTD week ago||YTD||Change|
|DOWW L/S Top/Bottom 3||-3.4%||-3.4%||+0.0%|
|DOW MR5 Mean-reversion||+4.3%||+4.0%||-0.3%|
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.
Directional strategies gained last week at the expense of long/short and mean-reversion but we do not expect this to continue for much longer.
- The above performance results are based on backtests. Performance is net of $0.01/share commission. Slippage is not included but may affect results. Please read our Disclaimer.
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