Market Signals Report

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

This week, the strategy ensemble ended nearly flat (+0.1%) due to gains in mean reversion and momentum, while the $SPX fell 1.7%. In 2024, the strategy ensemble gained 12% with a 3.4% maximum drawdown.

Positions and signal summary for next 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.

Performance of the four asset allocation models (monthly signals)

Hybrid asset allocation (HAA) employs two strategies: asset cross-sectional momentum and strategic allocation. The asset cross-sectional momentum strategy and the strategic allocation strategy generate signals in the monthly timeframe.

The Dynamic Momentum Strategy trades the SPY ETF with a proprietary timing algorithm. The objective is to avoid market corrections and maximise the Sharpe ratio.

• Cross-sectional momentum: +3.8% ytd return, 0.0% ytd drawdown

• Strategic asset allocation: +2.1% ytd return, 0.0% ytd drawdown

• HAA (50-50): +3.0% ytd return, 0.0% ytd drawdown

• Dynamic momentum: +2.7% ytd return, 0.0% ytd drawdown

2024 performance:

• Cross-sectional momentum: +16.7 return, -1.9% drawdown

• Strategic asset allocation: +17.8% return, -2.2% drawdown

• HAA (50-50): +17.3% return, -2.1% drawdown

• Dynamic momentum: +24.87% return, -3.9% drawdown

Below is a performance comparison table for HAA from January 2020 to January 2025 (in the monthly timeframe).

According to historical backtests, our strategy ensemble and asset allocation models have the potential to reduce risk while improving performance based on risk-adjusted returns. The high win rate, reduced market exposure, and high Sharpe and skew ratios can help decrease the probability of experiencing a significant loss.

You can access the six (6) strategy ensamble with 4 asset allocation models as a standalone quarterly service or as part of a hugely discounted service offering all Gryning strategies and information content (more information).

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.

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

SPY & QQQ ETF entry and exit signals. We update the chart at the end of each month.

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, February 14, 2025 (backtest):

After the best performance last year since at least 1990 with a 70% gain, our specific trend-following strategy with 23 futures is down 9% YTD and down 13.5% from equity highs. We expected the drawdown after the large gains of last year. TF is a highly volatile trading style.

Summary Table | Ten Strategy Pack

Rules to the Ten (10) strategies are available for purchase and are also made available as part of the hugely discounted Investing by Design package.

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

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Disclaimer: The premium content is offered for informational purposes only and none of the information in it constitutes a recommendation that any particular security, portfolio of securities, transaction, or investment strategy is suitable for any specific person. The author of the premium content is not a financial adviser; he is not advising, and he will not advise you personally concerning the nature, potential, value, or suitability of any particular security, portfolio of securities, transaction, investment strategy, or other matter. To the extent any of the information contained in the premium content may be deemed to be investment advice, such information is impersonal and not tailored to the investment needs of any specific person.

Any trading signals or trading systems will commence seven (7) days after payment is processed and 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 trading signals or trading systems. Under no circumstances, trading signals should be treated as financial advice. Trading involves substantial risks, including possible loss of principal and other losses. If investment or other professional advice is required, the services of a licensed professional should be consulted. The subscription to market signals does not include disclosure of any strategy rules.

From time to time, the author of the premium content may hold positions or other interests in securities mentioned in the service posts and may trade for their account based on the information presented. The author of the premium content may also take positions inconsistent with the views expressed in the service posts.