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Systematic Trading Update – March 13, 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 (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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This offer will expire Monday,  March 13, 2023, at 5:00 pm (ET)



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

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