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Systematic Trading Update – October 3, 2022 [Premium Signals]

The weekly systematic trading updates include a market recap, open positions, new signals, and the performance of seven trading strategies. A Market Signals or All in One subscription is required to access the full report.

Report Contents

1. Market Recap and Comments.
2. Ensemble Performance.
3. Positions and Strategy Performance.
4. Signal Summary for Next Week.

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1. Market Recap and Comments (September 26 – September 30, 2022)

Stocks (SPY) fell for a third week in a row as economic and geopolitical uncertainties increased. In the last three weeks, the S&P 500 has dropped 11.8%. Commodities (DBC) fell 0.4%. Gold (GLD) rebounded by 1.1%. High-yield corporate bonds (HYG) shed 1% and long-duration bonds (TLT) 3.1% due to the Fed denying rumors of a pivot. Year-to-date, DBC is up 15.1%. TLT is down the most, with a loss of 29.9%. The US Dollar index (UUP) is up 17.6% year-to-date.

The Dow-30 long/short strategy, which is the only active strategy with an optional volatility switch, worked as it was supposed to for another week, and delivered a 0.6% gain for the week, boosted by a short position in AAPL with a 7.6% return from the open of Monday to the close of Friday. The weekly Dow-30 long/short strategy is up 7.1% year-to-date. The long/short strategies are performing well due to a lack of strong relief rallies and a slow “pain trade” to lower levels.

The S&P 500 is down 25.2% from all-time highs and is oversold in both the daily and weekly timeframes. A strong relief market is long overdue, but markets can remain oversold for long periods.

Every day in the financial media, there is a competition to predict the bottom. Most of those who are involved in these forecasts have a limited understanding of markets and price action. Following strategies is one way of avoiding these exercises in futility.

2. Ensemble Performance

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