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Systematic Trading Update – March 6, 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 27 – March 3, 2023)

In the previous week ending February 24, 2023, all assets fell and the US dollar appreciated. This week, the dollar fell and all assets were up. The drivers of the dollar decline and asset gains were comments from Fed officials about a possible pause in rate hikes during the summer.

Large cap stocks (SPY) gained 2%. Long-duration bonds (TLT) were up 1.2%. Gold rose 2.5%, while commodities (DBC) added 3.3%.

All world ex-US stocks (VEU) have risen the most this year (+6.6%). Long-duration bonds (TLT) and large-cap stocks (SPY) are up by 2.9% and 5.7%, respectively. Gold (GLD) is up 1.7%, while commodities (DBC) are down 0.8%. The US dollar index (UUP) is up 1.8% so far this year.

This was a good week for the strategies, with an average gain of 1.6%. All strategies gained except commodity ETF trend-following, which ended the week flat. All strategies are up year-to-date, except for the mean reversion of the Dow 30 stocks. The Dow 30 long/short had a good week, with all three longs and three shorts up and an average gain of 1.5%.

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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