Category Archives: Trading Strategies
Update on performance of six systematic trading strategies as of end of November, 2018. This report includes strategy descriptions, year-to-date performance and drawdown.
Year-to-date the strategy is gaining 9.5% versus 3.9% for S&P 500 total return. Since the stock market correction started around October 3, 2018, the strategy is down 3.8% versus 6.1% for S&P 500 total return. Year-to-date, maximum drawdown for the … Continue reading
This October has been one of the worst months for equities since 2010 with a larger than two standard deviations monthly loss of 8.8% based on data since 1960. Our long/short equity strategy has gained 2.2% during this month.
In the last two weeks the S&P 500 has fallen 5.1%. Our DOWWMR mean-reversion strategy in weekly timeframe is down 3.5%. Year-to-date the strategy is gaining 10.4% versus 4.8% for S&P 500 total return.
A Market Signals subscriber from beautiful Brazil inquired about the possibility of using a leveraged ETF in place of SPY ETF, or even account margin, for boosting the performance of our MRSPYW weekly mean-reversion strategy. Below is our analysis.