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Systematic Trading Update – April 3, 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 27 – March 31, 2023)

Stocks (SPY) advanced 3.4% due to optimism that the banking crisis is over and inflation is coming down. However, the future is uncertain, and price action will always depend on future information. A balanced approach to avoid overexposure to equities and surprises from another possible bull trap may be a good guide.

Commodities (DBC) were up 3.4% on the week due to broad gains. Gold (GLD) finished the week slightly down (-0.2%). Long-duration bonds (TLT) were down 0.4%. The US dollar index (UUP) fell 0.5% on expectations of cooling inflation and possible rate cuts later this year.

Stocks (SPY) are up 7.5% year to date. Gold (GLD) is up 8%. Commodities (DBC) are down 3.7% after rising 19.3% in 2022. The US dollar (UUP) is slightly up for the year with a gain of 0.3%, 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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