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Systematic Trading Update – January 23, 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.

Report Contents

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

1. Market Recap and Comments (January 17 – January 20, 2023)

In the holiday-shortened week, stocks (SPY) initially fell 2.5% due to reports indicating a sluggish economy, but then rallied on Friday to close with a loss of 0.7%. Long-duration bonds (TLT) initially rallied but then reversed course to end the week down 0.5%. Commodities (DBC) were up 1.2%, with gains in energy and metals. The US dollar (UUP) ended the week slightly lower. Due to continuing weakness in the US dollar, all world ex-US equities (VEU) gained 0.8%.

Year-to-date, all world equities ex-USA (VEU) are up the most (+8.4%), followed by bonds (TLT) with a 6.7% gain. The US dollar (UUP) is down 1.3% year-to-date, and commodities (DBC) are up 1.2%, with gold (GLD) gaining 5.7%.

This week, cross-sectional momentum was slightly up, commodities trend-following was slightly down, and the Dow 30 long-short had solid gains of more than 1%. Mean reversion continues to act as a drag on returns, but we expect the performance to improve in the next two months.

Investing and trading will face challenging times ahead, as uncertainty is increasing on several fronts: economic, geopolitical, but also technological.

3. Ensemble Performance

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

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