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: +2.7%
The equity of the equally-weighted strategy ensemble rose 2.7% this week to new, all-time highs for the year.
Year-to-date performance (Backtests, no leverage)
| YTD Return | YTD Maximum Drawdown | |
| Strategy ensemble | +11.4% | -2.5% |
| Invesco RSP ETF | +9.1% | -5.6% |
| SPDR SPY ETF | +17.4% | -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 (August 12–August 16, 2024)
After a flat close the previous week, stocks rallied this week. Macro and technical analysts offered various explanations for the move, but in our view, the main driver was reflexivity. At the end of the day, the driver is irrelevant to systematic traders. The main issue is how to improve risk-adjusted returns and minimize losses when unpredictable corrections occur.
All six strategies made strong gains this week, and the ensemble’s equity reached all-time highs for the year. The Dow-30 mean reversion gained 3%, and the sector cross-sectional momentum surged 4%. Additionally, the Dow-30 long/short gained about 1% for the week.
The US dollar (UUP) was the only asset that fell during the week, down by 0.6%. Commodities (DBC) ended the week flat. Gold (GLD) gained 3.3% and rose to new, all-time highs.
Large-cap stocks (SPY) surged 4%. International stocks (VEU) rallied 3.6%. The TLT ETF was up 1.2% in anticipation of a 50 basis point cut next month.
We continue to follow the strategies, ignoring all the technical and macro noise.
3. Positions and strategy performance: Friday, August 16, 2024
|
This post is for paid subscribers
Already a subscriber? Sign in |
Access the full report with a Market Signals or All-in-One subscription. By subscribing, you have immediate access to hundreds of articles. Market Signals subscribers have immediate access to hybrid asset allocation and dynamic momentum monthly signals and more than two hundred articles in the Premium Education section, and All in One subscribers have access to all premium content (except daily mean-reversion signals.)
Charting and backtesting program: Amibroker. Data provider: Norgate Data
Disclaimer: The Premium and Weekly Signals are provided for informational purposes only and do not constitute investment advice or actionable content. We do not warrant the accuracy, completeness, fitness, or timeliness for any particular purposes of the Premium and Weekly Signals. Under no circumstances should the premium or weekly signals be treated as financial advice. The author of this website is not a registered financial adviser. Before subscribing, please read our Disclaimer and Terms and Conditions.
Copyright notice: Any unauthorized copy, reproduction, distribution, publication, display, modification, or transmission of any part of this report is strictly prohibited without prior written permission.
