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 30–November 3, 2023)
A short squeeze occurred this week in the equity and bond markets. See this article for more details and charts. Large-cap stocks (SPY) surged 5.9%. Commodities (DBC) fell 1.3%. Gold (GLD) was down 0.7%. Long-duration bonds (TLT) jumped 4.2%. The US dollar index (UUP) ended the week down 1.2%.
Since the start of 2022, the TLT ETF is down 37.8%, while international stocks (VEU) have dropped 10%. The SPY ETF is down 6% in the same period. On the winning side, commodities (DBC) and the US dollar index (UUP) are up 19.5% and 16.5%, respectively, since last year. Note that in the same period, gold (GLD) is up 8.1%.
Due to a few large caps driving the cap-weighted S&P 500 while the overall market is still weak, the equal-weight S&P 500 ETF (RSP) has only gained 1.6% so far this year.
We have decided to drop the S&P 500 index as the benchmark and use the RSP ETF. A few companies dominate the S&P 500, and it is unlikely this will change in the foreseeable future. Since we concentrate on delivering reasonable risk-adjusted returns, it is necessary to use appropriate benchmarks, and the S&P 500 index is not one of them. We are always in search of a better benchmark. We are also looking at the Barclays Hedge Fund Index as a potential benchmark.
2. Ensemble Performance
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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