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Systematic Trading Update – April 10, 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 (April 3 – April 6, 2023)

Stocks (SPY) were flat in the holiday-shortened week due to conflicting signals about the economy and choppy price action. On social media, people have heated arguments about whether the economy will go into a recession and whether it will have a soft landing or a hard landing. These are of no concern to systematic traders and never have been.

Forecasts are guesses, and most indicators, if not all, are either coincident or lagging. Although some predictions are accurate, this gives the false impression that forecasting economic conditions is possible. On the whole, high complexity and randomness tend to fool forecasters.

Commodities (DBC) gained 1.6% to rise for a third week in a row, surprising traders who expected a fast decline. Gold (GLD) finished the week with a gain of 1.8% and is on the path of challenging the August 2020 highs. Long-duration bonds (TLT) had solid gains of 2.3%. The US dollar index (UUP) fell 0.5% on expectations of lower inflation and a recession later this year.

Stocks (SPY) are up 7.4% year to date. Gold (GLD) is up 9.9%. Commodities (DBC) are down 2.2% after rising 19.3% in 2022. The US dollar (UUP) is down 0.5% after a 9.5% gain last year.

2. Ensemble Performance

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

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