The weekly systematic trading reports include a market recap, open positions, new signals, and the performance of six trading strategies.
Juneteenth: U.S. securities exchanges will be closed on Monday, June 19, 2023.
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 12 – June 16, 2023)
Stocks (SPY) and commodities (DBC) rallied 2.6% and 3.6%, respectively. Gold (GLD) finished the week down 0.2% despite a fall in the US dollar index (UUP) of 1.2%. Long-duration bonds (TLT) ended the week up 0.7%. International stocks (VEU) jumped 2.4%.
Stocks (SPY) are up 15.8% year to date. Gold (GLD) is up 7.1%. Commodities (DBC) are down 4.8% after a 19.3% gain in 2022. The US dollar (UUP) is up 1.2% after advancing 9.5% last year. Bonds (TLT) are up 4.4% year-to-date after plunging by 31.2% in 2022. International stocks (VEU) have gained 11.7% for the year.
The ensemble of the six strategies was up 0.8% for the week, with all strategies gaining except commodity long-short due to a rally in grains. Dow 30 mean reversion and ETF cross-sectional momentum had solid gains of 1.9% and 1.7%, respectively.
Trading strategy ensembles more than often lag equity returns during strong rebounds and melt-ups. The general idea is to use an ensemble with reasonable annualized returns and a low enough drawdown to make leveraged alpha possible. Many traders and investors misunderstand or even underestimate strategy ensembles and get caught in schemes that result in losses. In addition, during times of strong rebounds and melt-ups, passive equity investors may feel vindicated, but only until the next 30% to 50% drawdown, when they may hit the uncle point and realize large losses.
Trading and investing are hard. The reports are about trading and investing pragmatism rather than hype and promises of large returns. The audience may be small, but we prefer honesty.
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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