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 (November 13–November 17, 2023)
The rally in stocks and bonds continued due to expectations of a Fed pause and the rising probability of a rate cut in 2024. Large-cap stocks (SPY) gained 2.3%, and the equal-weight S&P 500 ETF (RSP) jumped 3.4%. International stocks (VEU) rallied 3.4%. Long-duration bonds (TLT) added 2.3%.
Commodities (DBC) fell 0.4% amid rising volatility. Gold (GLD) was up 2.3% on the back of a falling US dollar index (UUP), which ended the week with losses of 1.8%.
Since the start of 2022, the TLT ETF is down 36.1%, while international stocks (VEU) have dropped 7.5%. The SPY ETF is down 2.5% in the same period. On the winning side, commodities (DBC) and the US dollar index (UUP) are up 15.9% and 15.3%, respectively, since last year. Note that in the same period, gold (GLD) is up 7.4%. Therefore, stocks and bonds are in a recovery phase, with the latter still in a deep drawdown. Note that the TLT ETF is down 43.6% from its all-time highs.
A low signal-to-noise ratio is seen in the study of economic conditions because of noisy data, delays, adjustments, and the use of technical analysis indicators on economic series, mostly moving averages. Due to recent outliers in data series caused by the pandemic, the significance of any averages of economic data is low or even close to zero. Most analysts fail to realize these risks, while very few provide confidence intervals for their forecasts. Although systematic trading has faced headwinds this year due to high volatility and whipsaws and the performance is not as good as expected, we believe that strategy diversification will deal effectively with the rising uncertainty.
2. Ensemble Performance
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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