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 11 – September 15, 2023)
Commodities (DBC) advanced by 1.9% on the back of a rally in crude oil. The US Dollar Index (UUP) was up for the ninth week in a row with a gain of 0.3%. Both commodities (DBC) and the US dollar (UUP) are overbought.
Large-caps (SPY) fell 0.1% due to a sell-off on Friday and after rising nearly 1% in the first four days of the week. Gold (GLD) was up 0.1%, with gains capped due to a rally in the US dollar.
High-yield corporate bonds (HYG) ended the week unchanged. International stocks (VEU) gained 1.5%. Long-term bonds (TLT) were the biggest loser, down 1.5%.
Cross-sectional momentum (ETFNRW) performed well this week and provided support to the ensemble from mean-reversion losses. Commodity ETF trend-following was slightly up. All other strategies in the ensemble had small losses.
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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