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 15- May 19, 2023)
In these reports, no effort is made to explain price action, as is the case in numerous newsletters and financial blogs. Systematic traders believe trying to explain price action is a sign of a lack of experience and understanding of the markets and instead follow strategies hoping to benefit from long-term positive expectation. The exact value of the expectation may not be known, but systematic traders hope it is positive and that a good ensemble of strategies will produce superior risk-adjusted returns in the long term. There are also those gamblers and speculators who trade options, news, charts, and all sorts of signals at their discretion. Some of those may profit, but the outcome is random; most end up losing all their money.
Stocks (SPY) gained 1.7%. Commodities (DBC) were up 0.2% after a four-week losing streak. Gold (GLD) finished the week with a loss of 1.7% as the US dollar (UUP) gained 0.6%. Long-duration bonds (TLT) plunged by 3%. International stocks (VEU) rose 0.7%.
Stocks (SPY) are up 9.9% year to date. Gold (GLD) is up 8.3%. Commodities (DBC) are down 7.9% after rising 19.3% in 2022. The US dollar (UUP) is up 1.7% after a 9.5% gain last year. Bonds (TLT) are up 2.6% year-to-date after plunging by 31.2% in 2022. International stocks (VEU) are up 8.8%.
The ensemble of the six strategies was up 0.3% for the week, with gains in Dow 30 long/short, commodities trend-following, and mean-reversion. Cross-sectional momentum and tactical allocation were down for the 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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