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 Benchmark
2. Positions and Performance of Strategies
3. Signal Summary for Next Week
1. Performance of the ensemble and benchmarks
Year-to-date performance (backtest, no leverage): January 2, 2025–January 10, 2025
| YTD Return | YTD Maximum Drawdown | Weekly Change | |
| Strategy ensemble | -1.4% | -1.4% | -1.3% |
| S&P 500 Index | -0.9% | -1.9% | -1.9% |
In 2024, the strategy ensemble gained 12% with a 3.4% maximum drawdown. Click here for more details.
2. Positions and strategy performance: Friday, January 10, 2025
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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