The weekly reports on systematic trading include a market summary, open positions, new signals, and the performance of six trading strategies. Access to this 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 (September 25 – September 29, 2023)
Commodities (DBC) fell 1.2%. The US Dollar Index (UUP) was up for the eleventh week in a row with a gain of 0.7% and remains in overbought territory. Gold (GLD) plunged 4% in oversold territory on the back of a strong US dollar.
Large-caps (SPY) recovered from initial losses of 1.9% to finish down 0.7%. International stocks (VEU) dropped 1.4%. Long-term bond (TLT) losses increased to 4.8% by Thursday’s low, but a rebound followed, and they ended the week down 3% in oversold territory. High-yield corporate bonds (HYG) fell 0.4%.
The ensemble of strategies performed relatively well this week due to the contribution of the Dow-30 long/short strategy, which gained 2.7% after two stocks with long positions surged on Friday, NKE and WBA.
Mean reversion continues to act as a drag on returns this year. Systematic trading has struggled this year so far due to higher volatility and chopping price action. Since August 1, the S&P 500 has fallen 6.4%, and volatility is up.
2. Ensemble Performance
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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