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Systematic Trading Update – March 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 (March 20 – March 24, 2023)

Stocks (SPY) gained 1.4% for the second week in a row amid rising volatility and uncertainty about the future course of interest rates and the banking crisis. Optimism that the crisis is under control and the interest rate hike cycle is over propelled the equity markets. Hopes for a soft landing or no recession at all have also dominated market activity this year so far. In our opinion, speculation and wishful thinking are on the rise. No one knows what the future holds, and one way is to have a systematic approach. Strategies can fail, but a good mix can minimize risks during periods of turmoil.

Commodities (DBC) were up 1.6% on the week due to gains in energy, base metals, and softs. Gold (GLD) finished the week slightly down (-0.1%) after surging 5.7% the previous week. Long-duration bonds (TLT) were unchanged. The US dollar index (UUP) fell 0.6% on expectations of a Fed pause this summer.

Long-duration bonds (TLT) are up 7.9% year to date. Gold (GLD) is up the most, by 8.3%. Commodities (DBC) are down 6.9% after rising 19.3% in 2022. The US dollar (UUP) is slightly up for the year with a gain of 0.8%, after a 9.5% gain last year.

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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