The weekly systematic trading updates include a market recap, open positions, new signals, and the performance of eight trading strategies. A Market Signals or All in One subscription is required to access the full report.
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1. Market Recap and Comments.
2. Ensemble Performance.
3. Positions and Performance.
4. Signal Summary for Next Week.
1. Market Recap and Comments (November 14 – November 18, 2022)
Stocks (SPY) fell 0.6% amid conflicting signals about the state of the economy, a possible recession, and rate policy. Commodities (DBC) fell 3.8%. Gold (GLD) lost 1.1% as the U.S. dollar rebounded. High-yield corporate bonds (HYG) fell 0.3%, while long-duration bonds (TLT) were up 1.8%. Year-to-date, the DBC ETF is up 21.1%. The TLT ETF is down the most, with a loss of 31.5%. The US Dollar Index (UUP) is up 12.4% year-to-date.
The S&P 500 index is down 17.3% from its all-time highs. Last week I wrote:
[N]o one knows whether this rally is a bear market rebound or signals a bottom formation.
On Thursday, stocks (SPY) fell 3% from the highs of Tuesday, which was just 0.3% below the 200-day moving average. Another bull trap was highly probable. But dip buyers emerged, and stocks rebounded 1.2% from the lows of the day on Thursday. Mean-reversion strategies benefited from the bounce, but momentum and long/short came under pressure.
The DOWW long/short was under pressure again this week, but this time not due to strong rebounds in short positions but due to profit-taking in long positions. As noted last week, this strategy provided convexity when it was needed during this year with a gain of up to 9%, but in the current regime, it is not performing well. This strategy will probably be removed at the end of the year, pending a final decision.
New signals were generated for next week, and slowly, exposure to different markets is increasing. This has been a challenging year for strategies due to multiple regime shifts.
2. Ensemble Performance
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