Premium Market Analysis, Trader Education, Software, and Trading Strategies

Premium Signals

Systematic Trading Update – May 16, 2022 [Premium Signals]

Systematic Trading updates include open positions, new signals, and the performance of six trading strategies in the weekly timeframe. Market Signals or All in One subscription are required to access the report.

For more information on the strategies, see here.

Market Recap and Comments (May 9 – May 13, 2022)

Stocks (SPY) fell 2.3% despite a 2.4% gain on the last day of the week. Commodities (DBC) fell 1%. Gold (GLD) was down 3.8%. Bonds (TLT) gained 2%. Year-to-date, DBC is up 34.9%. TLT is down the most, with a loss of 21.3%.

Below is a weekly performance recap, including year-to-date performance and a comparison to popular benchmarks, and the PSI5 mean-reversion strategy.

Average weekly performance of strategies with open positions. -1.6%
Average weekly performance of the five strategies (excluding long/short) -1.0%
Average weekly performance of the six strategies (including long/short) -0.8%
Weekly change of S&P 500 index -2.4%
YTD average return including the long/short before the pause. -3.9%
YTD average return excluding the long/short. -4.6%
YTD average return including the long/short (no pause) -3.2%
YTD return of the S&P 500 Index (no dividends) -15.6%
YTD return of 60/40 portfolio in SPY/TLT (annual rebalancing) -17.6%
YTD return of PSI5 mean-reversion algo (performance for SPY) -2.5%

Comments about performance, positions and the new signals report follow below.

For next week, the total allocation to strategies will be about 31%, while 69% will be in cash.

A frequent mistake allocators make is reducing equity exposure to zero. No one knows when the bottom will form and, although a large exposure to equities carries a high risk, so does no exposure.

Last week I wrote:

It is always better to have a small allocation to equities because the timing of these rebounds and bottoms is uncertain. This also depends on the strategies used in the case of systematic trading.

We remind you that the Dow 30 long/short strategy was paused on March 7, when the positions were closed at the open due to the activation of an optional volatility switch. We provide performance figures with and without the long/short strategy, as well as based on the performance before the strategy was paused.

Trading and investing in these markets isn’t easy, as experience with dot com and the 2008 bear markets has shown. Systematic investing can generate false signals and carries high risks, but the risks of discretionary trading are much higher.

Disclaimer: The Premium and Weekly Signals are provided 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.

10% off for blog readers and Twitter followers with coupon NOW10