The weekly systematic trading reports include a market recap, open positions, new signals, and the performance of seven trading strategies.
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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 (March 6 – March 10, 2023)
Stocks and commodities fell hard, while bonds, gold, and the US dollar gained after news of persisting inflationary pressures and the SVB failure.
Large-cap stocks (SPY) plunged 4.5%. Long-duration bonds (TLT) were up 3.6%. Gold rose 0.8%, while commodities (DBC) dropped 3.2%.
Long-duration bonds (TLT) have risen the most this year (+6.6%). All world ex-US stocks (VEU) are up 2.8%, while US large-cap stocks (SPY) are gaining 0.9%. Gold (GLD) is up 2.5%, commodities (DBC) are down 4%, and the US dollar index (UUP) is up 1.9% so far this year.
Despite the high volatility in the markets, two of the six strategies are up year-to-date, and the commodity ETF strategy is down less than 0.5%. The Dow 30 long/short has performed as expected with a 1.4% gain year-to-date.
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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