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. 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: -1.2%
This week, the equity of the equally weighted strategy ensemble fell 1.2%.
Year-to-date performance (Backtests, no leverage)
| YTD Return | YTD Maximum Drawdown | Weekly Change | |
| Strategy ensemble | +13.3% | -2.5% | -1.2% |
| Invesco RSP ETF | +14.2% | -5.6% | -2.1% |
| SPDR SPY ETF | +23.0% | -5.4% | -0.9% |
On a risk-adjusted basis, the ensemble outperforms both the SPY ETF and its equal-weight counterpart, the RSP ETF.
2. Recap and Comments (October 21–October 25, 2024)
All strategies fell this week. The average loss of the strategies was 1.2%.
The Dow-30 mean-reversion strategy fell the most as stocks in the index took a hit from disappointing quarterly results. Market breadth also declined, with the equal-weight S&P 500 index ETF (RSP) falling 2.1% for the week versus a loss of 0.9% for the capitalization-weighted index ETF (SPY).
Geopolitical, electoral, and economic uncertainties have begun to exert pressure on the markets. The high-capitalization tech sector still shows a persistent dynamic, but a spillover is possible. We anticipate an increase in volatility both before and after the elections, and the likelihood of the market wiping out a significant portion of the year-to-date gains has increased.
The Dow-30 long-short strategy worked as expected this week, with all short positions up and only two longs down, but the losses were large. This behavior is not unusual during periods of high uncertainty, but in the event of a large correction, we expect the strategy to provide some convexity.
On Friday, November 1, 2024, before the market opens, we will publish the report with the updates for the two monthly strategies.
3. Positions and strategy performance: Friday, October 25, 2024
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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