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Systematic Trading Update – February 21, 2023 [Premium Signals]

Photo by Alesia Kozik

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

U.S. securities exchanges will be closed on Monday, February 20, for Presidents Day.

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 (February 13 – February 17, 2023)

As a result of a higher-than-expected CPI and rumors that the Fed may become more “hawkish” to combat inflation, all assets fell and the US dollar appreciated.

The S&P 500 Index (SPY) had a 0.2% decline. Long-term bonds (TLT) fell by 1%. Gold lost 1.0% while commodities (DBC) declined by 3.2%.

All world ex-US stocks (VEU) have risen the most this year (+6.9%). Long-term bonds (TLT) and stocks (SPY) are both up, 3.1% and  6.5%, respectively. Gold (GLD) is up 1%, whilst the commodity market is down 3.2%. The US dollar index (UUP) is up 1% so far this year.

The strategies’ weekly changes were small, averaging a loss of 0.1%. There are a few interesting new signals for next week.

Equities (SPY) have been consolidating for the past three weeks, but the short-term bias remains positive. The commodities market is in a multi-week consolidation phase as the U.S. dollar has gained momentum.

Due to prolonged inflation and robust employment, the markets have become increasingly uncertain. In the short term, long-term bonds are in a downtrend, and rising interest yields may exert pressure on equities. At this moment, the fundamental analysis produces contradicting signals; hence, it is best to adhere to strategies that can capture outlier trades.

2. Ensemble Performance

Below is the weekly performance recap, including year-to-date performance and a comparison to popular benchmarks and the PSI5TF futures trend-following strategy.

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

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