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.
U.S. exchanges are closed on May 30 for Memorial Day.
For more information on the strategies, see here.
Stocks (SPY) surged 6.6% after an anticipated relief rally. Commodities (DBC) gained 3.7% with metals and natural gas prices moving higher. Gold (GLD) was up 0.5%. Bonds (TLT) were higher by 0.5%. Year-to-date, DBC is up 39.6%. TLT is down the most, with a loss of 19.2% despite a gain of 4.7% in the past three weeks.
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.||+2.4%|
|Average weekly performance of the five strategies (excluding long/short)||+1.4%|
|Weekly change of S&P 500 index||+6.6%|
|YTD average return including the long/short before the pause.||-2.9%|
|YTD average return excluding the long/short.||-3.5%|
|YTD return of the S&P 500 Index (no dividends)||-12.8%|
|YTD return of 60/40 portfolio in SPY/TLT (annual rebalancing)||-15.0%|
|YTD return of PSI5 mean-reversion algo (performance for SPY)||-1.9%|
Comments about performance, positions, and the new signals report follow below.
Last week I wrote:
The last time there was a 7-week losing streak in the S&P 500 was on March 21, 2001, and afterward, there was a relief rally. However, after the relief rally, the bear market resumed.
The relief rally occurred before the holiday, as was anticipated. In the past, large rebounds of over 6% have occurred near the bottoms but also along with large corrections and bear markets. These large returns are not reliable indicators of market direction in the short to medium term. There is confusing and naïve analysis in the financial blogosphere about long-term gains after large rebounds. I have shown in an article why the conclusions are fooled by the long-term bias of the stock market.
Next week, the allocation to strategies will be about 20%, while 80% will be in cash.
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