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. 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: -0.9%
The equity of the equally-weighted strategy ensemble fell 0.9% this week.
Year-to-date performance (Backtests, no leverage)
| YTD Return | YTD Maximum Drawdown | |
| Strategy ensemble | +10.0% | -2.1% |
| Invesco RSP ETF | +7.5% | -6.0% |
| SPDR SPY ETF | +16.2% | -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.
2. Market Recap and Comments (July 15–July 19, 2024)
This week began with the ripples of a political assassination attempt and ended with a massive IT failure, bringing a good part of business activity to a halt around the world. All assets fell, except the US dollar (UUP), which ended the week with a gain of 0.5%. Commodities (DBC) plunged 3%. Gold (GLD) fell 0.6% after mid-week all-time highs.
Large-cap stocks (SPY) fell 1%, and the equal-weighted S&P 500 index (RSP) was down 0.1% for the week. International stocks (VEU) lost 2.7%. Fixed-income markets came under pressure, with the TLT ETF down 1.1%.
Next week, we will get further indications of whether the market decline signals an intermediate top. What is more concerning is the elevated speculation levels in the markets, with many retail traders believing they can take advantage of short-term volatility and profit in the long term. The mathematics contradict these hopes and dreams. The only sound alternative in the markets is systematic trading.
3. Positions and strategy performance: Friday, July 19, 2024
This week, all strategies fell except for Dow-30 dollar neutral long/short, which gained 0.6% and delivered a small, albeit valuable, convexity. The Dow-30 mean reversion was down 1.1%, but it remains the most profitable strategy year-to-date, with a return of 17.3%. Asset cross-sectional momentum is the next most profitable strategy, with a return of 12.4% year-to-date.
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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