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: -0.86%
This week, the equity of the equally weighted strategy ensemble fell 0.86%.
Year-to-date performance (Backtests, no leverage)
| YTD Return | YTD Maximum Drawdown | Weekly Change | |
| Strategy ensemble | +12.3% | -2.5% | -0.9% |
| Invesco RSP ETF | +13.1% | -5.6% | -1.0% |
| SPDR SPY ETF | +21.3% | -5.4% | -1.4% |
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 28–November 1, 2024)
All strategies fell this week. The average loss of the strategies was 0.86%.
During a volatile week due to economic and political uncertainty, bond yields rose despite disappointing employment numbers and low inflation, and the S&P 500 index faced a 1.4% loss. Weekly Dow-30 mean-reversion fell about 0.2%, and this is the best-performing strategy year-to-date with a return of about 23.3%. Tactical asset allocation and SPY ETF mean reversion fell the most due to losses in both stock and bonds.
The defensive positioning (T-Bill probably and maybe some gold) is expected to persist into next week and likely beyond the election, potentially leading to a further increase in volatility.
Note that on Friday, November 8, 2024, Nvidia (NVDA) and Sherwin-Williams (SHW) will replace Intel Corp. (INTC) and Dow Inc. (DOW) in the Dow-30 index. The two strategies that generate signals for Dow-30 stocks, MRDOWW and DOWWN, will adjust accordingly.
We are thinking of replacing the strategies that generate signals for stocks next year with ones that use ETFs only. Company-specific risks are increasing in a fast-moving tech world. The alternative could be trimming the universe to include only low-beta stocks. We will announce the decision next month.
3. Positions and strategy performance: Friday, November 1, 2024
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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