This is an update on the monthly rebalanced market signal strategies and a 2024 recap. Access the full report with a Market Signals or All-in-One subscription.
2024 Recap
Return of the strategy ensemble: 12%
Performance comparison for 2024
| Return | Maximum Drawdown | |
| Strategy ensemble | +12.0% | -3.4% |
| Invesco RSP ETF | +12.8% | -6.3% |
| SPDR SPY ETF | +24.9% | -5.4% |
At 2x leverage, the strategy ensemble closely tracked the S&P 500 total return for 2024 on both an absolute and risk-adjusted basis and outperformed its equal-weight counterpart by a wide margin.
Performance of ensemble strategies in 2024
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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