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Weekly Strategy Performance Recap – May 25, 2018

Performance results of six systematic strategies as of close of May 25, 2018.

Strategy YTD YTD Week Ago Change
SPYLSMAW +2.4% +2.1% +0.3%
ETF2RW +0.2% +0.0% +0.2%
ETF4RW +1.2% +1.2% +0.0%
DOWW L/S Top/Bottom 3 -3.4% -4.8% +1.4%
FAANG L/S +18.6% +17.7% +0.9%
DOW MR5 Mean-reversion  +4.3% +4.2% +0.1%

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.


Trend-following and cross-sectional momentum rotation strategies, SPYLSMAW, ETF2RW and ETF4RW, performance was steady

Weekly top/bottom 3 long/short DOW advanced 1.4% with the short in CVX contributing to the gains: +1.24% from open to close and +1.50% from close to close.

Weekly long/short FAANG added to gains after having  fully recovered from the AAPL short about a month ago: +0.47% from open to close and +1.22% from close to close.

Dow stock weekly mean-reversion returns (MR5) YTD returns increased by 0.1%.

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