Trading Systems Performance for April 2023
Below is a performance summary for our fully rules-based trading systems for the month of April 2023. To learn more about these systems and to follow along in real-time with their signals, check out our Trading Systems page.
March markets at a glance
| Market | April | Year to Date |
|---|---|---|
| S&P 500 ($SPX) | +1.60% | +9.18% |
| 10-Year Treasury (IEF) | +0.81% | +4.77% |
| 60/40 Portfolio (SPY/IEF) | +1.28% | +7.41% |
Trading system performance
| System | April | Year to Date |
|---|---|---|
| Trade Risk Index | -0.76% | -2.39% |
| Merlin System | -0.29% | -7.98% |
| Lamorak System | -1.16% | +3.14% |
See Performance Disclosures: Monthly Performance. Trade Risk uses Interactive Brokers as our primary broker and reporting agent.
Trading system commentary
Sock and Bond markets continued their rebound higher throughout the month of April. The 60/40 portfolio extended year-to-date gains to +7.41% retracing nearly half of their 2022 losses.
Our quantitative trading systems are still lagging behind their benchmark through the month of April as both trading systems were down small this month. Mega-cap technology stocks have been dragging the indices higher and if investors haven’t had allocations to the dozen of companies producing those gains, then they’ve been falling behind and Merlin and Lamorak fall squarely in that camp.
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