We will be introducing a new strategy in the next Weekly Market Signals report for long/short factors. The strategy will be integrated with the ensemble of current strategies starting next year.
Our weekly Market Signal report is currently based on the following ensemble of strategies:
- One long-only systematic tactically allocation strategy for ETFs.
- Two long-only mean-reversion strategies for stocks and ETFs.
- Two long-only momentum strategies for ETFs,
- One long/short strategy for stocks.
For more details about the strategies click here.
With the introduction of the factors signals, there will be two long/short strategies and we believe the convexity of the ensemble will be higher during adverse market moves.
The factor long/short signals, FACTLSW strategy, will be in the weekly timeframe as with the other strategies. The strategy will use ETFs. Below is the backtest since the inception of the ETFs in 2015 (01/02/2015 – 07/18/2022)
Unleveraged CARG is 3.42% at 4.8% maximum drawdown. The Sharpe and MAR are 0.72, and this is desirable performance, assuming it will be maintained in the future. Year-to-date the strategy is gaining 5%.
The strategy will be introduced in this week’s report but the performance will be included starting next year. Market Signals or All in One subscription have access to these weekly signal reports.
Specific disclaimer: All charts in this report are for informational purposes only. See the disclaimer for more information.
Disclaimer: No part of the analysis in this blog constitutes a trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.
Charting and backtesting program: Amibroker. Data provider: Norgate Data
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