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Systematic Trading Update – January 17, 2023 [Premium Signals]

Photo by Alesia Kozik

The weekly systematic trading updates include a market recap, open positions, new signals, and the performance of seven trading strategies.

U.S. securities exchanges will be closed on Monday, January 16 for Martin Luther King, Jr. Day.

Report Contents

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

1. Market Recap and Comments (January 9 – January 13, 2023)

This week, all markets gained as the US dollar fell (UUP -1.5%). Commodities (DBC + 4.7%) were up the most, with gains in energy, metals, grains, and softs. The New Year rally in large caps (SPY +2.7%) has been extended. Bonds (TLT +1.5%) gained for the second week in a row. Gold (GLD +2.9%) had solid gains as bond yields fell.

Year-to-date, all world equities ex USA (VEU) are up the most (+7.5%), followed by bonds (TLT) with a 7.2% gain. The US dollar (UUP) is down 1.2% year-to-date, and commodities (DBC) are up slightly (+0.6%).

Uncertainty about interest rate policy is growing due to conflicting signals about the strength of the economy. Inflation fell slightly, but employment remains strong. It is impossible to forecast the evolution of the states of the highly complex stochastic process we call the “economy.” When the system is highly complex, forecasts have no better than even odds; some forecasters will be right, and some will be wrong. Relying on forecasts of the economy to trade or invest is an exercise in futility, with an expectation equal to zero in the best case. Systematic traders rely on strategies for their decisions. Strategies can fail, but the right mix can also generate acceptable risk-adjusted returns over a sufficiently long time horizon.

This week, cross-sectional momentum had solid gains, commodities trend-following was nearly flat, and the Dow 30 long-short had losses. The result was a small gain overall. Two strategies generated signals for next week after a period of inactivity.

3. Ensemble Performance


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Charting and backtesting program: Amibroker. Data provider: Norgate Data

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