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Systematic Trading Update – September 18, 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 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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