The weekly systematic trading reports include a market recap, open positions, new signals, and the performance of six trading strategies.
U.S. exchanges are closed on May 29 for Memorial Day
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 22- May 26, 2023)
Markets had wild swings this week, with tech stocks leading. There were rumors that the stock market gains on Friday were driven by optimism about a debt limit deal, but news reports contradicted them. In addition, data that supported persisting inflationary pressures was ignored by the equity markets. As we wrote in the previous report, systematic traders avoid trying to explain the causes of price moves but rather concentrate on their strategies and risk management.
Stocks (SPY) gained 0.3%. Commodities (DBC) were up 0.5%. Gold (GLD) finished the week with a loss of 1.5% as the US dollar (UUP) gained 1.1%. Long-duration bonds (TLT) ended the week unchanged. International stocks (VEU) fell 1.4%.
Stocks (SPY) are up 10.2% year to date. Gold (GLD) is up 6.6%. Commodities (DBC) are down 7.4% after rising 19.3% in 2022. The US dollar (UUP) is up 2.8% 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 7.3%.
The ensemble of the six strategies was down 0.1% for the week, with Dow 30 long/short’s strong performance continuing. Commodity trend-following, mean-reversion, and cross-sectional momentum were down for the week. Tactical allocation had small gains.
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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