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.
Comments
This week the ensemble performance came close to that of the S&P 500 index, with a gain of 0.4% versus 0.5%. The year-to-date performance remains positive.
The main contributors to performance this week were ETF and stock market sector momentum. One strategy remains flat.
The first three months of this year were challenging for systematic strategies, but the ensemble has performed relatively well and has even exceeded expectations. However, we are focusing on worst-case scenarios and are ready to make necessary adjustments to maximize the odds of robust performance. We have not made any changes to the strategies since January 2024, when the commodity ETF trend-following strategy was replaced by the DMSRM sector rotation strategy. For next year, we are considering adding a strategy with a beta close to zero to boost diversification potential.
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 (backtest, no leverage).
| Date: 03/14/2025 | YTD Return | YTD Maximum Drawdown* | Weekly Change |
| Strategy ensemble | +0.6% | -2.7% | +0.3% |
| S&P 500 Index | -3.6% | -7.8% | +0.5% |
* The drawdown is based on weekly closing prices.
In 2024, the strategy ensemble gained 12% with a 3.4% maximum drawdown. Click here for more details.
2. Positions and strategy performance: Friday, March 21, 2025
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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