Market recap, open positions, new signals, and performance of six trading strategies. Tactical asset allocation, mean reversion, cross-sectional momentum, and equity long-short with weekly and monthly updating. Access the full report with a Market Signals or All-in-One subscription.
Contents
1. Market Recap and Comments
2. Performance of the Ensemble and Benchmarks
3. Positions and Performance of Strategies
4. Signal Summary for Next Week
1. Market Recap and Comments (April 15–April 19, 2024)
The US dollar and gold were the only assets that gained for a second week in a row amid escalating geopolitical tensions in the Middle East and remain overbought (strong momentum). Two weeks ago, we wrote:
The duration distribution of overbought conditions is typically highly leptokurtic, meaning there are extreme tail events. This means that the risk of trying to fade strong momentum is always high, although the probability of even more extended overbought conditions is very low.
Large-cap stocks (SPY) plunged 3.1%. The equal-weight S&P 500 ETF (RSP) finished the week down 1.3%. International stocks (VEU) fell 1.5%.
The TLT ETF was down 1.3% despite rising uncertainty about rate cuts and some “flight to quality” due to geopolitical turmoil. The DBC ETF ended with a loss of 1.2%. Gold (GLD) gained 1.9% amid rising volatility. The US dollar (UUP) was up 0.2%.
Primarily due to a long position in UNH (+14.1%) and a short position in AMZN (-6.2%), the Dow 30 long-short strategy gained 4.7% for the week. The Dow 30 weekly mean-reversion strategy also had a long UNH position and made a small profit overall for the week. These two strategies limited the ensemble’s losses to 0.7%, compared to the SPY ETF’s 3.1% loss for the week.
2. Performance of the ensemble and benchmarks
Year-to-date performance (Backtests)
Year-to-date unleveraged return: 3.2%. Maximum drawdown: -2.1%
| Strategy ensemble | +3.2% |
| Invesco RSP ETF | +1.7% |
| SPDR SPY ETF | +4.5% |
3. Positions and strategy performance: Friday, April 12, 2024
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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