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Performance of Weekly Market Signals in 2019

Performance of weekly market signal, brief analysis and comparison to S&P 500 total returns for 2019 and 2017 – 2019 period.

The weekly market signals are included in our Market Signals reports. These are systematic signals generated by six trading strategies listed below:

Strategy Market Positions Strategy Type
SPYLMAW SPY Long-only Adaptive trend-following
MRSPYW SPY Long-only Mean-reversion
ETF2RW SPY, TLT Long-only Rotation. Hold up to two ETFs
ETF4RW SPY, TLT, GLD Long-only Rotation. Hold up to two ETFs
DOWW 30 Dow stocks Long/short Top 6/Bottom 6 based on DLPAL LS rank
MRDOWW 30 Dow stocks Long-only  Mean-reversion, up to 20 open positions

The weekly timeframe applies to the signals of all strategies above. Entries and exits occur at the open of the next weekly bar. 

Performance*

Strategy 2019 2017 – 2019
SPYLMAW +17.3% +35.5%
MRSPYW +12.0% +23.3%
ETF2RW +14.8% +22.9%
ETF4RW +11.5% +14.2%
DOWW +1.1% +15.7%
MRDOW +7.7% +24.7%
Average +10.7% +22.7%
SPY TR +31.2% +52.3%

*Performance is based on backtests with $0.01 comm/share.

Last year posed a challenge to systematic strategies since the market bottomed late December 2018 after about 20% decline and then recovered fast. It was difficult for most strategies to respond to this development. Therefore, in addition to 2019 performance we also include in the table above performance in 2017 – 2019 period.

Comments

  1. Trend-following performance was impacted by a lag in responding to the V-Bottom of December 2018 and as a result underperformed in 2019.
  2. Rotation strategies diversify into bonds and gold and are not expected to challenge stocks performance in strong bull markets.
  3. Mean-reversion performed well despite the fact that momentum dominated price action for all of 2019 (see this article for more details.)
  4. Long/short strategy is not expected to perform well in strong bull markets but it is included as a hedge because it offers convex returns with respect to buy and holding in case of a bear market.

Conclusion

Although strategies underperformed SPY buy and hold total return by a wide margin in 2019 we are still satisfied with the results given market realities and the convenience of working with weekly signals. In the daily timeframe, results were different. For examples of daily mean-reversion performance in 2019 click here.

Subscription offer

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