The weekly systematic trading report includes open positions, new signals and year-to-date performance of seven trading strategies. The report also includes a commentary about the strategies and market. Access to article requires Market Signals or All in One subscription.
Market Recap and Comments
Stocks (SPY) finished the week up 0.9% at new all-time highs. Commodities (DBC) fell 2.5% on the week. Gold (GLD) plunged 3.1% after a failed mid-week rally. Bonds (TLT) ended the week down 1% after rising as much as 1.7%.
Two weeks ago I wrote:
The stock market rally is mainly fueled by passive index funds and it will probably take more than fundamentals for a change in trend. Short-term direction in the bond and commodities markets is uncertain although the latter had an upward bias this week.
After the sixth short-term V-bottom of the year, equities (SPY) rebounded and made new all-time highs. Stocks appear strong while commodities, gold and bonds show weakness and higher probability of continuation of the short-term correction. Normally, volatility is expected to be subdued during the last two weeks of August but this is not always true. Although the average return of S&P 500 for the month is 0% since 1941 (standard deviation is 4.407%), in August of 2011 and 2015, SPY fell about 6%. On the other hand, last year SPY gained about 8% in August. Often the market defies expectations and this is why a systematic way of dealing with uncertainty is necessary to avoid accumulation of losses.
Strategy Performance Recap
The average weekly change of active strategies was 0.15%. Three strategies gained and three were down on the week.
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