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. New equity highs. Access the full report with a Market Signals or All-in-One subscription.
Contents
1. Performance of the Ensemble and Benchmarks
2. Market Recap and Comments
3. Positions and Performance of Strategies
4. Signal Summary for Next Week
1. Performance of the ensemble and benchmarks
Weekly return of the ensemble: +0.5%
The equity of the equally-weighted strategy ensemble reached new highs this week.
Year-to-date performance (Backtests, no leverage)
| YTD Return | YTD Maximum Drawdown | |
| Strategy ensemble | +7.9% | -2.1% |
| Invesco RSP ETF | +5.4% | -6.0% |
| SPDR SPY ETF | +15.3% | -5.4% |
On a risk-adjusted basis, the ensemble outperforms both the SPY ETF and its equal-weight counterpart, the RSP ETF. The ensemble also outperforms the latter on an absolute return basis due to deteriorating market breadth this year.
2. Market Recap and Comments (June 17–June 21, 2024)
Breadth improved this week, with the S&P 500 index (SPY) and the equal-weight index (RSP) gaining 0.6% and 1.2%, respectively.
All assets gained the week except gold (GLD, -0.4%) and bonds (TLT, -0.7%). The US dollar index (UUP) gained 0.3%. US large-caps (SPY) are highly overbought.
We are receiving feedback from traders who have realized that trying to predict price action from noisy economic data with lags or random chart patterns is an exercise in futility. Systematic trading is not a panacea and can fail, but it offers a more objective way of dealing with the stochastic nature of the market. There are reports of traders facing heavy losses trying to short Nvidia, the NASDAQ-100, or even the S&P 500 index. An unleveraged hypothetical performance of 8% by a strategy ensemble may not sound impressive to some people, but it is better than losing 20% or even more trying to win a fight with market makers.
3. Positions and strategy performance: Friday, June 21, 2024
Sector cross-sectional momentum and Dow 30 mean reversion each gained 1.2% this week. The asset cross-sectional momentum strategy had small gains, whereas the Dow 30 long-short strategy finished the week with small losses.
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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