The weekly systematic trading reports include a market summary, open positions, new signals, and the performance of six trading strategies.
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 (October 23–October 27, 2023)
This week, we had another explosive mix of stronger-than-expected economic data and geopolitical uncertainty. Gold and bonds gained due to a flight to quality, while stocks ended lower.
Large-cap stocks (SPY) fell 2.5% on top of a 2.4% loss the previous week. Commodities (DBC) fell 0.5%. Gold (GLD) added 1.4%. Long-duration bonds (TLT) gained 1.4%. The US dollar index (UUP) ended the week up 0.4%.
Since the start of 2022, the TLT ETF is down 40.3%, while international stocks (VEU) have dropped 15%. The SPY ETF is down 11.2% in the same period. On the winning side, commodities (DBC) and the US dollar index (UUP) are up 21% and 18%, respectively, since last year. Note that in the same period, gold (GLD) is up 8.9%.
The best-performing strategies this week, on a relative basis, were again the Dow 30 long/short, despite the higher stock market volatility, and commodity ETF trend-following. These strategies tend to perform better in bear markets.
2. Ensemble Performance
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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