Merlin Strategy Performance for May 2020

Below is a performance summary for our Merlin trading strategy for the month of May 2020, net of transaction costs. To learn more about the strategy and to follow along in real-time with its trading signals, please visit the Merlin strategy page.

Merlin performance for May

Strategy May Year to Date
Merlin Margin +0.17% -10.44%
60/40 Benchmark +2.99% +1.54%

See Performance Disclosures: Monthly Performance.


Merlin closed trades in May

Closed Trades Return on Signal R-Multiple
TLT +0.07% +0.02


Performance commentary

We saw modest gains for the Merlin strategy as it kept very light exposure throughout the month of May. Back in April we discussed how this type of “warm up” period back into stocks is standard operating procedure after the historic market melt down we saw in February/March.

What’s making the re-entry back into the markets a bit slow is due to just how vertical the strongest areas of the market have gotten (tech and healthcare primarily) without offering up many pullbacks or consolidations along the way. Merlin is a mean reversion strategy at its core, which means, it likes to look for bargains when entering trades, and everything that has been strong and working continues to be in full on chase mode.

Final thoughts

At the time of writing this report, in the first week of June, Merlin has started finding some opportunities in individual stocks. I would expect activity to pick up throughout the month of June and Merlin to increase the number of stocks its holding.

If you’re looking for an evidence-based strategy for swing trading individual stocks and ETFs on an end of day closing basis, check out the details behind Merlin here.

Evan Medeiros

Evan is the founder of the Trade Risk. With 25 years of coding experience and a B.S. in computer science, Evan brings a systematic discipline to investing in the stock market.

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