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Systematic Trading Update – February 27, 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.

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 21 – February 24, 2023)

All assets fell and the US dollar appreciated for a second week in a row, as data showed the economy is strong and the Fed will stay hawkish.

In the holiday-shortened week, the S&P 500 Index (SPY) fell 2.7%. Long-duration bonds (TLT) lost 1.4%. Gold dropped 1.7%, while commodities (DBC) declined by 0.8%.

All world ex-US stocks (VEU) have risen the most this year (+3.8%). Long-duration bonds (TLT) and stocks (SPY) are up by 1.7% and 3.6%, respectively. Gold (GLD) is down 0.8%, while commodities (DBC) have lost 4%. The US dollar index (UUP) is up 2.4% so far this year.

Equities (SPY) ended a three-week consolidation with a move to the downside. The commodities market (DBC) is in a 25-week consolidation as the U.S. dollar is gaining momentum.

Fundamental analysis keeps giving contradictory signals, and whipsaw makes it hard for strategies to perform well. Yet, a systematic approach is more promising in the current environment.

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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