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Systematic Strategy Performance Update – November 30, 2018

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 performance based on backtests (Last updated: 11/30/2018)

Strategy Year-to-date Drawdown
SPYLSMAW +4.6% -9.8%
MRSPYW +2.7% -5.6%
ETF2RW -4.0% -7.4%
ETF4RW -3.5% -8.6%
DOWW +1.7% -6.6%
MRDOWW +8.9% -5.4%

* Performance is adjusted for dividends and does not include any leverage. Commissions of $0.01/share are included in all performance calculations. Click here for a disclaimer.

Strategy description

None of the strategies listed below was ever coded or disclosed in a social trading platform. The strategies are proprietary and based on sound hypotheses about price action behavior and formation of anomalies in weekly timeframe.

Strategy Trades Positions Strategy Type
SPYLSMAW SPY Long-Short Adaptive trend-following
MRSPYW SPY Long-only Mean-reversion
ETF2RW SPY, TLT Long-only Rotation/Hold up to two ETFs
ETF4RW SPY, TLT, GLD, SHY Long-only Rotation/Hold up to two ETFs
DOWW 30 Dow stocks Long/short Top 6/Bottom 6 based on proprietary rank
MRDOWW 30 Dow stocks Long-only  Mean-reversion

The strategies are not for sale but their signals are offered as part of the Premium Signals service. For a sample report click here.

The weekly timeframe applies to the signals of all strategies. All entry and exit signals are for the open price of the following weekly bar except when a stop-loss is triggered.

SPYLSMAW is a long-short (exit long and reverse to short) strategy for trading SPY based on adaptive moving averages. The long-only part of the strategy can be also used.

MRSPYW is mean-reversion strategy for SPY ETF based on sound mathematics that generates long-only signals while avoiding bear markets. 

ETF2RW trades SPY and TLT long-only based on momentum and can hold one of those ETFs or both based on a ranking method.

ETF4RW trades, SPY, TLT, GLD and SHY long-only based on momentum and can hold up to two ETFs at a time based on a ranking method.

DOWW is a long/short strategy that trades the top 6 and bottom 6 of the Dow 30 group of stocks using a ranking method based on features generated by DLPAL LS software.

MRDOWW is a mean-reversion strategy based on sound mathematics that generates long-only signals in Dow 30 stocks while avoiding bear markets. 

Disclaimer: The Premium Signals are provided as an educational trading tool for informational purposes only and do not constitute investment advice. We do not warrant the accuracy, completeness, fitness or timeliness for any particular purposes of the Premium and Weekly Signals. Under no circumstances the Premium or Weekly Signals should be treated as financial advice. The author of this website is not a registered financial adviser. Before subscribing please read our Disclaimer and Terms and Conditions.

Copyright notice: Any unauthorized copy, reproduction, distribution, publication, display, modification, or transmission of any part of this report is strictly prohibited without prior written permission.

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