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Systematic Trading Update – July 5, 2022 [Premium Signals]

The weekly systematic trading updates include open positions, new signals, and the performance of six trading strategies. Market Signals or All in One subscriptions are required to access the report.

U.S. exchanges are closed on July 4 in observance of Independence Day.

For more information on the strategies, see here.

Market Recap and Comments (June 27 – July 1, 2022)

Stocks (SPY) fell 2.3% but ended the week of lows due to a holiday rally. Commodities (DBC) dropped 3.4%. Gold (GLD) was down 1%. High Yield Corporate Bonds (HYG) fell 1%, but long-duration bonds (TLT) gained 3.1%.  Year-to-date, DBC is up 28.8%. TLT is down the most, with a loss of 21.1%.

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. -1.1%
Average weekly performance of the five strategies (excluding long/short) -0.4%
Weekly change of S&P 500 index -2.2
Average YTD return including the long-short before the pause. -3.8%
Average YTD return excluding the long-short. -4.6%
YTD return of the S&P 500 Index (no dividends) -19.7%
YTD return of 60/40 portfolio in SPY/AGG (annual rebalancing) -15.2%
YTD return of PSI5 mean-reversion algo (performance for SPY, QQQ, and IWM) -6.8%

The Dow 30 long-short strategy was paused on March 7, when the positions were closed due to the activation of a volatility switch. The performance of the strategy without the volatility switch is shown below.

Weekly performance of Dow 30 long-short strategy. -1.6%
YTD return of the Dow 30 long-short strategy. +2.0%
Average weekly performance of the six strategies (including long-short) -0.6%
Average YTD return including the long-short strategy -3.5%

Next week, the allocation to strategies will be at 14%, while 86% of it will be in cash. Three strategies are out of the market, and the long/short strategy is in (optional) pause mode due to high volatility. Only two momentum strategies have open positions.

The capital destruction due to economic conditions and high uncertainty continues. Forecasting short-term moves is an exercise in futility.

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

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