Premium Market Analysis, Trader Education, Software, and Trading Strategies. Thirty Years Of Skin In The Game

Premium Signals

Market Signals-February 5, 2024 [Premium Signals]

Photo by Luis Dalvan

Market recap, open positions, new signals, and performance of six trading strategies. Tactical asset allocation, mean-reversion, cross-sectional momentum, and equity long-short. Access the full report with a Market Signals or All-in-One subscription.

Reminder: The hybrid asset allocation and dynamic momentum signals monthly updates are free for Market Signals subscribers. The last update was on Thursday, February 1, 2024. Click here for more details.


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 (January 29–February 2, 2024)


It was a good week for the strategy ensemble, with all strategies up and a 1.1% average gain. Cross-sectional sector momentum and Dow-30 mean-reversion strategies outperformed, with gains of 2% and 1.5%, respectively.

The energy sector came under pressure this week due to expectations of a ceasefire agreement in the Middle East. The spot price of crude oil dropped 7.3%. The DBC ETF, which has a high correlation with crude oil, lost 3.5%. Gold gained 0.9% for the week, and international stocks (VEU) fell 0.1% on the back of a stronger dollar, with UUP ETF gaining 0.3%

Large-cap stocks (SPY) were up 1.4% on the week, and long-duration bonds (TLT) finished up 2.8% but were off the highs of Thursday. Due to a stronger-than-expected employment report on Friday, bonds fell and yields rose.

Since January 2022, the SPY ETF has been up 7.4%, but with a maximum drawdown of 24.5%.  Gold and the US dollar have outperformed large-cap stocks in the same period, with gains of 10.3% and 8.6%, respectively. Note that the UUP ETF has surged 17% in the same period, for reasons explained in this article.

Long-only traders in US large-cap equities (SPY) who increased their timeframe to monthly, from intraday, daily, and weekly, have done well historically on average. One-day options and a myriad of new products have driven the signal-to-noise ratio near zero in faster timeframes. See this article for a simulation using monthly data. 

This year, we introduced two new strategies that rebalance their signals in the monthly timeframe to replace two of the weekly strategies. We now have four strategies in the weekly timeframe and two in the monthly timeframe. We believe this was a good first step for timeframe diversification, in addition to market and strategy diversification. There are always challenges, and there is plenty of room for improvement. Markets are non-stationary, with regime changes, and an ensemble of strategies should adapt to new conditions. As of the close of this week, the DMSRM strategy is up 3.8% for the year, versus 2.8% for the ETFLSW strategy that it replaced. In addition, the TFD3M strategy is up 1.9% for the year, versus 0.9% for the TFD3W strategy that it replaced.

2. Ensemble Performance 

Access the full report with a Market Signals or All-in-One subscription. By subscribing, you have immediate access to hundreds of articles. Market Signals subscribers have immediate access to hybrid asset allocation and dynamic momentum monthly signals and more than two hundred articles in the Premium Education section, and All in One subscribers have access to all premium content (except daily mean-reversion signals.)

This post is for paid subscribers



Already a subscriber? Sign in

Charting and backtesting program: Amibroker. Data provider: Norgate Data

Disclaimer: The Premium and Weekly Signals are provided for informational purposes only and do not constitute investment advice. We do not warrant the accuracy, completeness, fitness, or timeliness for any particular purposes of the Premium and Weekly Signals. Under no circumstances should the premium or weekly signals be treated as financial advice. The author of this website is not a registered financial adviser. Before subscribing, please read our Disclaimer and Terms and Conditions.

Copyright notice: Any unauthorized copy, reproduction, distribution, publication, display, modification, or transmission of any part of this report is strictly prohibited without prior written permission.