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.
Price Action Lab Blog wishes our subscribers a great Labor Day Weekend!
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: +0.2%
The equity of the equally-weighted strategy ensemble rose 0.2% this week to new highs for the year.
Year-to-date performance (Backtests, no leverage)
| YTD Return | YTD Maximum Drawdown | |
| Strategy ensemble | +12.6% | -2.5% |
| Invesco RSP ETF | +12.3% | -5.6% |
| SPDR SPY ETF | +19.3% | -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. Recap and Comments (August 26–August 30, 2024)
The dollar-neutral Dow-30 long-short strategy fell 0.5% this week, breaking a six-week winning streak. This strategy has provided a solid return of approximately 8.3% this year. The primary goal of this strategy is to provide convexity during times of struggling equity markets, and any alpha on top of that is highly desirable.
The MRDOW Dow-30 long-only mean reversion, which gained about 1.9% from the opening to the closing of the week, was the big winner. A 7.3% surge in INTC contributed to the performance. The MRDOW strategy is outperforming the SPY ETF by a wide margin year-to-date due to the strong mean-reversion dynamic, especially during the summer.
The DMSRM dynamic momentum rotation strategy is up about 13.7% year-to-date, and there are new signals for next month.
Again, for the new subscribers, the objective of this ensemble is not to outperform the market but to generate reasonable risk-adjusted returns, i.e., a reasonable annualized return at a reasonably low maximum drawdown and volatility. The targets are an annualized return higher than 7%, equity volatility of less than 10%, and a maximum drawdown less than 12%. These goals might not be achievable because markets are unpredictable and tail events happen more frequently than normal.
3. Positions and strategy performance: Friday, August 30, 2024
|
This post is for paid subscribers
Already a subscriber? Sign in |
Access the full report with a Market Signals or All-in-One subscription. By subscribing, you have immediate access to hundreds of articles. Market Signals subscribers have immediate access to hybrid asset allocation and dynamic momentum monthly signals and more than two hundred articles in the Premium Education section, and All in One subscribers have access to all premium content (except daily mean-reversion signals.)
Charting and backtesting program: Amibroker. Data provider: Norgate Data
Disclaimer: The Premium and Weekly Signals are provided for informational purposes only and do not constitute investment advice or actionable content. We do not warrant the accuracy, completeness, fitness, or timeliness for any particular purposes of the Premium and Weekly Signals. Under no circumstances should the premium or weekly signals be treated as financial advice. The author of this website is not a registered financial adviser. Before subscribing, please read our Disclaimer and Terms and Conditions.
Copyright notice: Any unauthorized copy, reproduction, distribution, publication, display, modification, or transmission of any part of this report is strictly prohibited without prior written permission.
