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Systematic Trading Update – September 11, 2023 [Premium Signals]

Photo by Alesia Kozik

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 5 – September 8, 2023)

For the week, all assets were down except for commodities (DBC), which advanced by 0.7%, and the US Dollar Index (UUP), which added 0.9% after rising for the eighth week. Large-caps (SPY) fell 1.3%. Gold (GLD) lost 1.1% on the back of a rallying US dollar. High-yield corporate bonds (HYG) were down 0.6%, and international stocks (VEU) plunged 1.8%. Long-term bonds (TLT) dropped 0.5%.

Commodity ETF trend-following gained about 1% this week and acted as a hedge to equity losses, with the ensemble of the six strategies losing only 0.2% versus a loss of 1.3% for SPY ETF.

The US dollar and commodities have rallied, while bonds appear to be forming a bottom and equities took a breather given the uncertainty of the interest rate policy. Volatility will probably increase in the last quarter of this year. There has been a high level of confusion and even misinformation about the drivers of the equity rally and economic growth.

The low signal-to-noise ratio has adversely impacted discretionary trading, and the only reasonable approach left is systematic trading, although the expectation remains low this year.

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

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