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 30 – June 2, 2023)
We ignore the narratives in financial media and blogs, and primarily on social media, about the causes of the equities rally in the last two days of the holiday-shortened week. Price action is mostly random, and it is impossible to identify deterministic causes. We believe any such attempts show a lack of understanding of the markets.
Any cause-and-effect, or even association, with financial news, is only apparent, and prices could have gone the other way. By realizing this, we are also able to figure out who on social media has experience with the markets and who is an amateur immersed in narrative creation. Unfortunately, most financial social media participants do not understand markets, but some good traders focus on price action and have experience.
Stocks (SPY) gained 1.9%. Commodities (DBC) were down 0.6%. Gold (GLD) finished the week with a small gain of 0.1% as the US dollar (UUP) fell by 0.1%. Long-duration bonds (TLT) ended the week up 1.2%. International stocks (VEU) advanced by 1%.
Stocks (SPY) are up 12.3% year to date. Gold (GLD) is up 6.7%. Commodities (DBC) are down 7.9% after a 19.3% gain in 2022. The US dollar (UUP) is up 2.7% after advancing 9.5% last year. Bonds (TLT) are up 3.6% year-to-date after plunging by 31.2% in 2022. International stocks (VEU) have gained 8.4% for the year.
The ensemble of the six strategies gained 0.8% for the week, with Dow 30 mean-reversion staging a comeback and Dow 30 long/short’s strong performance continuing. Tactical allocation and cross-sectional momentum also gained for the week. Commodity trend-following had small losses.
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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