Performance results of six systematic strategies as of close of June 8, 2018.
|Strategy||YTD||YTD Week Ago||Change|
|DOWW L/S Top/Bottom 3||-2.6%||-3.4%||+0.8%|
|DOW MR5 Mean-reversion||+6.2%||+4.0%||+2.2%|
FAANG L/S and Dow Mean-reversion weekly signals are included in our weekly premium analysis. Weekly signals of all strategies except Dow mean-reversion are included in the weekly premium signals report. Subscribers to weekly signals receive the weekly premium analysis as a bonus.
All strategies made a profit last week with Dow component mean-reversion posting gains of +2.2% and FAANG long/short +1.1%. Below is the equity curve of the Dow mean-reversion strategy since 2016 that shows the rise to a new high.
- 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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