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
Comments
This week the ensemble performed better than expected with a loss of 0.6% versus 2.3% for the S&P 500 index. The year-to-date performance remains slightly positive.
The main contributors to performance this week were cross-sectional momentum, which sold US stocks and bought international stocks along with long positions in gold and commodities, and Dow-30 long-short, which continued to provide the needed convexity with positive returns despite the market volatility. Moreover, the mean reversion of Dow-30 equities remained flat at the start of this week, thereby limiting beta exposure.
We design the ensemble to endure turbulent times, which is crucial for achieving long-term returns that surpass inflation.
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 (available till 23/03/25) 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). The ten strategy rule pack is also available to members of Investing by Design.
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.
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 14, 2025 (backtest):
The strategy is down 11.1% year-to-date.
The drawdown from equity highs is 15.4%.
There are 14 open positions, 9 long and 5 short.
YTD down 11.1% after the best year in 2024 since 1990 for our particular model and universe of 23 futures.
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
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; futures or ETF’s.
Last week, our Next Day Model was right 4/5 days for a net +334 points in SPX. The two model’s are available as a stand alone subscription, and for a limited time (23/03/25) are part of the Investing by Design framework.
Investing by Design is an all-in-one strategy and information package that gives you robust foundations for your trading business. Questions & group discounts: aaj.tgt@protonmail.com