Weekly Market Signals
Performance of six trading strategies (more information); Tactical asset allocation, mean reversion, cross-sectional momentum, and equity long-short with weekly and monthly updating.
Performance of the six strategy ensemble and benchmarks
Comments
After a rare two-day 7-sigma event the previous week, with the S&P 500 plummeting 10.5%, another rare event occurred, with the index surging 9.5%, or more than 9 standard deviations, on Wednesday, April 9, 2025.
Due to the high volatility, with the VIX index rising to 60 on the first day of the week, some strategies were adversely affected, and some other strategies gained, but the net result was a gain for the ensemble of a little more than 0.5% for the week and continuing significant outperformance of the S&P 500 index. Specifically, the ensemble is down 1.8% year-to-date, versus a loss of 8.8% for the S&P 500 index. More importantly, on a weekly basis, the drawdown of the ensemble this year is 5.2%, versus 17.1% for the S&P 500 index. Therefore, despite the negative performance, the objective of the ensemble has been met, which is higher risk-adjusted returns as compared to the benchmark.
Daily Mean Reversion and the Futures Trend Following are two of the strategies that are available as part of the “One Solution, Multiple Benefits” ten (10) strategy rule pack (more information).
Daily Mean Reversion
The mean-reversion strategy uses our algorithm to generate long-only signals for two ETFs and now with S&P 100 stocks in the daily timeframe.
Daily Mean Reversion | Performance with SPY and QQQ
Historical Performance Ending 01/03/2000-12/31/2024
SPY and QQQ ETFs (50% allocation to each ETF, $0.01/share commission)
The following pairs can also be used in place of SPY and QQQ:
SSO and QLD for 2x leverage.
SPXL and TQQQ for 3x leverage.
ES and NQ futures.
Win rate is 69.1%, 1,389 trades, average holding period is 4.8 days, exposure is 41.4%. Performance is indicative only and depends on execution, slippage, and commissions.
SPY: The mean waiting time between signals has been 6.5 days, and 3 standard deviations are at 23.2 days.
QQQ: The mean waiting time between signals has been 4 days, and 3 standard deviations are 14.3 days.
Daily Mean Reversion | Performance with S&P 100 stocks since March 24, 2025
Futures Trend Following
Updated (weekly) after the close of Friday, April 11, 2025 (backtest)
The strategy is down 16.7% year-to-date.
The drawdown from equity highs is 20.7%.
There are 13 open positions, 5 long and 8 short.
Details of the strategy used:
Timeframe: Daily
Strategy Type: trend-following based on breakouts, exit long, and reverse to short with stop-loss.
Maximum positions: 23, long or short.
Position size: Based on stop-loss and maximum risk per position.
Trade entry: All trades are executed at the opening of the next bar.
Stop-losses: All stop-losses are executed intraday.
Summary Table | Ten Strategy Pack
Access the rules for the two highlighted strategies, trend following & mean reversion, alongside eight (8) other strategies listed in the table above, by clicking on the button below.
NDM and NDMVix are machine learning algorithms (statistical models) based on alternative data – dark pool data and options dealer gamma exposure (DIX, GEX and VIX Futures) – with the goal to predict the direction of the next day move in the S&P 500 index; futures or ETF’s.
Last week, our Next Day Model (NDM) was right 4/5 days, correctly anticipating the +474 points on Tuesday and the down 188 points on Wednesday. The two models are available as a standalone annual subscription.
