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Systematic Trading Update – January 9, 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.
4. Signal Summary for Next Week.

1. Market Recap and Comments (January 3 – January 6, 2023)

Stocks and bonds gained in the holiday-shortened week due to reports indicating slower wage growth and a higher probability of a soft landing for the economy. The SPY ETF gained 1.5%. High-yield corporate bonds (HYG) were up 2.6%, while long-duration bonds (TLT) surged 5.6%. Commodities (DBC) plunged 4.1%. Gold (GLD) rose 2.4%. The US dollar index (UUP) initially gained but erased most of the gains on the last day of the week to close up 0.1%.

Fundamental analysis continues to be a source of high noise, as most forecasts reflect confirmation bias and wishful thinking. Even if the forecasts are accurate, in most cases they have little value for investors and traders in the short to medium term. Systematic traders hope their strategies will maintain their edge in 2023, avoid large drawdowns, and even make a profit in an increasingly uncertain economic environment.

This week, the Dow 30-long-short strategy was impacted by the higher volatility, but cross-sectional momentum had a solid performance. We expect the mean reversion strategies to become active during the month. Commodities trend-following had losses in this first week of trading, but we expect outlier moves will be caught during the year.

3. Ensemble Performance

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

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