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: +0.8%
The equity of the equally-weighted strategy ensemble rose 0.8% this week to new highs for the year.
Year-to-date performance (Backtests, no leverage)
| YTD Return | YTD Maximum Drawdown | |
| Strategy ensemble | +12.3% | -2.5% |
| Invesco RSP ETF | +11.4% | -5.6% |
| SPDR SPY ETF | +19.0% | -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 19–August 23, 2024)
“The time has come” to focus more on systematic trading and ignore the macro and technical analysis noise. In the best case scenario, the expectation from technical and macro trading is zero, yet there is a distribution of winners and losers. The public focuses on the winners, and that offers the false perception that these methods have some predictive power over the long term. The fact is, they have none. The market rewards those who maintain discipline and adhere to systematic signals.
All six strategies gained this week, and the ensemble’s equity reached all-time highs for the year. The sector cross-sectional momentum was up 1.5%. Asset cross-sectional momentum gained 1.1%.
The US dollar (UUP) was the only asset that fell during the week, down by 1.6%, on expectations of a rate cut cycle. Commodities (DBC) and gold (GLD) ended the week nearly flat.
Large-cap stocks (SPY) gained 1.4%. International stocks (VEU) added 2.4%. The TLT ETF was up 1% in anticipation of the start of the rate-cut cycle.
We continue to follow the strategies, ignoring all the technical and macro noise.
3. Positions and strategy performance: Friday, August 23, 2024
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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