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Systematic Trading Update – April 24, 2023 [Premium Signals]

Photo by Alesia Kozik

The weekly systematic trading reports include a market recap, open positions, new signals, and the performance of six 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 17 – April 21, 2023)

The stock market rally came to a halt this week, due to increased uncertainty about a recession later in the year but also in anticipation of earnings results from large caps next week.

Stocks (SPY) ended the week with a 0.1% loss. Commodities (DBC) ended a four-week winning streak with a loss of 2.7% due to growing fears about a recession. Gold (GLD) finished the week with a loss of 1.1%, but the market remains bullish and could challenge the August 2020 highs later this year. Long-duration bonds (TLT) fell by 0.6%. The US dollar index (UUP) was up 0.3% but off the lows of the week.

Stocks (SPY) are up 8.2% year to date. Gold (GLD) is up 8.6%. Commodities (DBC) are down 3.4% after rising 19.3% in 2022. The US dollar (UUP) is down 0.2% after a 9.5% gain last year. Bonds (TLT) are up 5.7% year-to-date after plunging by 31.2% in 2022. International stocks (VEU) have a bullish bias, with gains of 8.8% year-to-date after losses of 15.6% last year.

This was one of the best weeks for Dow 30 long-short with gains of 2.6% and major contributors a long position in PG and a short position in VZ. Cross-sectional momentum, commodity trend-following, tactical asset allocation, and Dow 30 mean reversion had small losses. Given the uncertainty in the markets and the chopping price action, a gain of 0.1% for the six-strategy ensemble was a favorable result.

2. Ensemble Performance

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

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