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Weekly Dow 30 Equity Long/Short Update

Weekly Dow 30 Equity Long/Short is gaining 4.9% as of close of week ending July, 10, 2020.

The strategy details may be found here. The signals of this strategy (called DOWW) are included in weekly Market Signals report. Features (predictors) for the strategy are generated by DLPAL LS software.

The strategy is up +4.9% year-to-date while S&P 500 is down -1.4% as of close of week ending July 10, 2020.

Below is the equity curve of the strategy since 01/2016 (backtest.)

Strategy performance (01/04/2016 – 07/10/2020)

Parameter Strategy
CAGR 6.8%
Max. DD -5.4%
Sharpe 0.4
MAR 1.26

The strategy was up about 6.3% in January of this year but then had a drawdown of about 5.2% and it is now in recovery mode.

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Notes

  • Equity performance is based on backtests
  • All trades are placed at the open of the next weekly bar.
  • Commission of $0.005/share is included in all backtests above.

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