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 May 8- May 12, 2023)
Stocks moved sideways this week as uncertainty about the economy grew after the CPI and consumer sentiment reports.
Stocks (SPY) fell 0.3%. Commodities (DBC) fell 2% and were down for the fourth week in a row. Gold (GLD) finished the week with a loss of 0.3%. Long-duration bonds (TLT) lost 0.6%. The US dollar index (UUP) rallied to end the week with a gain of 1.6%. International stocks (VEU) fell 1.3% as the US dollar gained.
Stocks (SPY) are up 8% year to date. Gold (GLD) is up 10.1%. Commodities (DBC) are down 8% after rising 19.3% in 2022. The US dollar (UUP) is up 1% after a 9.5% gain last year. Bonds (TLT) are up 5.8% year-to-date after plunging by 31.2% in 2022. International stocks (VEU) are up 8%.
This was another good week for Dow 30 long/short due to a short position in DIS that gained nearly 10%. Commodities trend-following ended the week with a small loss. The ensemble of the six strategies was down 0.4% for the week. The performance of the ensemble was adversely affected again this week mainly by the mean reversion strategy in Dow 30 stocks. One of the six strategies has been flat since last month, but it generated a signal for next week.
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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