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Systematic Trading Update -August 14, 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. Access to the report requires a Market Signals or All-in-One subscription.

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 (August 7 – August 11, 2023)

All markets fell this week, with volatility increasing, except for the US dollar, which rallied 1%, and high-yield corporate bonds that posted small gains. Long-duration bonds were down due to data showing persisting core CPI inflation but also a rising PPI.

Commodities (DBC) fell 0.1%. The US dollar index rebound continued for a fourth week in a row, with the UUP ETF adding 1%. Large caps (SPY) and international stocks (VEU) fell 0.3% and 0.7%, respectively. The GLD ETF dropped 1.4%.

Systematic strategies came under pressure due to rising volatility, but the ensemble losses were limited to 0.3% due to gains from the commodity trend-following strategy.

Volatility and uncertainty will probably increase due to expectations of rising crude oil prices and an uptick in inflation.

2. Ensemble Performance

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Charting and backtesting program: Amibroker. Data provider: Norgate Data

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