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Systematic Trading Update – June 12, 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 June 5 – June 9, 2023)

Stocks (SPY) gained 0.5%. Commodities (DBC) were down 0.2%. Gold (GLD) finished the week up 0.5% as the US dollar (UUP) fell by 0.3%. Long-duration bonds (TLT) ended the week down 0.1%. International stocks (VEU) advanced by 0.6%.

Stocks (SPY) are up 12.8% year to date. Gold (GLD) is up 7.3%. Commodities (DBC) are down 8.1% after a 19.3% gain in 2022. The US dollar (UUP) is up 2.4% after advancing 9.5% last year. Bonds (TLT) are up 3.7% year-to-date after plunging by 31.2% in 2022. International stocks (VEU) have gained 9% for the year.

The ensemble of the six strategies was up 0.5% for the week, with all strategies gaining. Dow 30 mean reversion and commodity ETP long-short had solid gains of 1.1% and 1.2%, respectively.

We continue to focus on price action and strategies while ignoring the financial mainstream and social media noise. Trading on the news or economic analysis offers a false perception of short-term control, while following strategies is often painful and rewarding in the medium to long term. Many retail traders give up too soon, even after the first small drawdown, because they think they will do better by following their favorite guru on social media or some technical analysis indicators.

Trading strategies is a long-term commitment. The tendency to abandon or change strategies after even a small drawdown versus being persistent and disciplined is what differentiates losers from winners in the markets.

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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