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.
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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