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Systematic Trading Update – May 1, 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 24- April 28, 2023)

The stock market rebounded after a positive GDP report and better-than-expected large-cap earnings. Stocks (SPY) rallied 2.9% in the last two days of the week and erased losses of 1.9% from the first three days to close with a gain of 0.9%.

Commodities (DBC) fell for the second week in a row, but losses were trimmed to 1.1% after a rally on Friday. Gold (GLD) finished the week with a gain of 0.3%. Long-duration bonds (TLT) rallied by 2%. The US dollar index (UUP) ended the week unchanged.

Stocks (SPY) are up 9.2% year to date. Gold (GLD) is up 8.9%. Commodities (DBC) are down 4.4% 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 7.7% year-to-date after plunging by 31.2% in 2022. International stocks (VEU) have a bullish bias, with gains of 8.9% year-to-date after losses of 15.6% last year.

This was a good week for tactical asset allocation, with the strategy gaining 1.1%. Cross-sectional momentum, commodities trend-following, and Dow 30 long/short also had gains. The mean reversion strategy in Dow 30 stocks fell slightly. All in all, the ensemble of the six strategies was up 0.5% for the week.

2. Ensemble Performance

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

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