Weekly Market Signals
Performance of six trading strategies; 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
Last week, the strategy ensemble decreased (-1.8%) while the $SPX fell (-3.1%), which leaves our signals 2.6% above the broad index and +0.9% ytd.
Positions, individual strategy performance and signal summary for this week will be sent out to members in 90 minutes. Click on the button below to join now and begin your Investing by Design membership.
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
Daily Mean Reversion | Performance with SPY and QQQ
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.
Performance with SPXL and TQQQ
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 the three-standard deviations are 14.3 days.
Historical Performance Ending 01/03/2000-12/31/2024
SPY and QQQ ETFs (50% allocation to each ETF, $0.01/share commission)
Futures Trend Following
Update after the close of Friday, March 07, 2025 (backtest):
The strategy is down 11.2% year-to-date.
The drawdown from equity highs is 15.6%.
There are 13 open positions, 8 long and 5 short.
We expected the drawdown after the large gains of last year. TF is a highly volatile trading style.
Summary Table | Ten Strategy Pack
Next Day Model
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 (SPX).
Investing by Design is an all-in-one strategy and information package that gives you robust foundations for your trading business (more information).
Questions & group discounts: aaj.tgt@protonmail.com