The weekly systematic trading reports include a market summary, open positions, new signals, and the performance of six trading strategies.
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 (November 6–November 10, 2023)
Stocks rallied on Friday due to expectations that interest rates have peaked, despite a hawkish Fed. Large-cap stocks (SPY) gained 1.4%. The large-caps market shows continuing weakness despite the rally in a few mega-caps. The equal-weight S&P 500 ETF (RSP) fell 0.6% this week and has only gained 1% so far this year. Since 2022, the RSP ETF has been down 10.7%.
Commodities (DBC) plunged 2.6%. Gold (GLD) was down 2.9%. Long-duration bonds (TLT) gained 0.4, and the US dollar index (UUP) ended the week up 0.8%.
Since the start of 2022, the TLT ETF is down 37.5%, while international stocks (VEU) have dropped 10.7%. The SPY ETF is down 4.7% in the same period. On the winning side, commodities (DBC) and the US dollar index (UUP) are up 16.4% and 17.4%, respectively, since last year. Note that in the same period, gold (GLD) is up 5%.
Most analysts use technical and fundamental analysis to analyze price action and the markets. We believe that fear and greed best explain price action, based on over thirty years of experience with market uptrends, two major bear markets, and several large corrections. We use strategies to capture the weak signal in the noise. This year has been very challenging because the signal-to-noise ratio has dropped close to zero. However, experience shows that the gains from systematic strategies usually come when their users expect them the least.
2. Ensemble Performance
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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