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Systematic Trading Update – March 20, 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 13 – March 17, 2023)

Stocks (SPY) ignored the banking crisis and rallied 2.6% in the first four days of the week, but then fell 1.2% on Friday to end the week with a gain of 1.4%. Stock investors thought that the bank crisis would force the Fed to pause or even cut interest rates, but this may have been wishful thinking rather than a realistic assessment of market conditions. Speculative trading and investing usually peak during periods of turmoil.

Commodities (DBC) were a mixed bag. Precious metals went up because people wanted to buy safe assets, but energy prices went down because people thought a recession was coming. Gold (GLD) surged 5.7%, the largest weekly increase since March 2020. Bond prices rose due to the flight to quality, with the TLT ETF gaining 1.2%. Large-cap stocks (SPY) plunged 4.5%. The US dollar index (UUP) was nearly flat in the first four trading days of the week but ended down 0.5% due to selling pressures on Friday.

Long-duration bonds (TLT), which are up 7.9% year to date, are second in terms of gains. Gold (GLD) is up the most, by 8.3%. Commodities (DBC) are down 8% after reversals in several markets, and in addition to gains in bonds, they have caused significant losses this year to managed futures CTAs. 

2. Ensemble Performance

Below is the weekly performance recap, including year-to-date performance and a comparison to the performance of the S&P 500, our PSI5TF futures trend-following strategy, and the DBMF ETF.

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

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