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Systematic Trading Update – April 17, 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 10 – April 14, 2023)

The inflation release for March raised the uncertainty level and caused random movements in the capital markets. The stock market perceived the drop in inflation as bullish, but the reaction in the bond market was negative, possibly due to expectations of a lower number and/or profit-taking. In the forex markets, the lower inflation was initially perceived as bearish for the US dollar, but by the end of the week, the importance of other factors gained dominance and volatility increased.

Stocks (SPY) initially fell after the CPI release but ended the week with a 0.8% gain. Commodities (DBC) gained 1.5% with solid gains across most sectors. Gold (GLD) finished the week with a loss of 0.1% but remains on the path of challenging the August 2020 highs. Long-duration bonds (TLT) fell by 3.2%. The US dollar index (UUP) was down 0.2% but off the lows of the week.

Stocks (SPY) are up 8.3% year to date. Gold (GLD) is up 9.9%. Commodities (DBC) are down 0.7% after rising 19.3% in 2022. The US dollar (UUP) is down 0.5% after a 9.5% gain last year. Bonds (TLT) are up 6.3% year-to-date after plunging by 31.2% in 2022. International stocks (VEU) are on a recovery path with gains of 9% year-to-date after losses of 15.6% last year.

All in all, it was one of the best weeks for weekly mean-reversion in Dow 30 stocks, with the strategy equity increasing by 3.6%. Cross-sectional momentum and commodities trend-following had decent gains of 0.8% for the week, while tactical allocation and long/short had moderate losses. Given the uncertainty in the markets, a gain of 0.6% for the six-strategy ensemble was a favorable result this week.

2. Ensemble Performance

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

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