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Market Signals For March 4, 2024

Photo by Andriaan Greyling

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.

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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 (February 26–March 1, 2024)


The ensemble of the six strategies gained 0.7% this week. Cross-sectional sector ETF momentum gained the most, up 1.5% for the week, and the year-to-date performance of the strategy increased to 7.3%. Dow 30 weekly mean reversion gained 1% and is up 7.1% year-to-date. All in all, it was a good week for the strategy ensemble, as all assets were up during the week.

Large-cap stocks (SPY) gained 1% for the week. The equal-weight S&P 500 ETF (RSP) finished the week with a gain of 1.2%, and the market breadth improved further. International stocks (VEU) ended the week with a gain of 0.5%.

The bond market initially came under pressure earlier in the week but rallied on Friday due to weaker-than-expected economic reports. The TLT ETF gained 1%. The DBC ETF was up 1.7%, primarily due to a rally in crude oil. Gold (GLD) also rallied to end the week with a gain of 2.3%. The US dollar (UUP) finished the week unchanged.

Since 2017, there have been 13 weeks when all assets in the above table finished the week with gains. Those are marked with green arrows in the SPY ETF weekly chart below.

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

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