Trading Systems Performance for August 2022
Below is a performance summary for our fully rules-based trading systems for the month of September 2022. To learn more about these systems and to follow along in real-time with their signals, check out our Trading Systems page.
System performance for August
| Strategy | August | Year to Date |
|---|---|---|
| Trade Risk Index | -1.47% | -10.69% |
| Merlin System | -0.66% | -19.74% |
| Lamorak System | -2.27% | -1.35% |
| 60/40 Benchmark | -4.00% | -14.31% |
See Performance Disclosures: Monthly Performance. Trade Risk uses Interactive Brokers as our primary broker and reporting agent.
Trading system commentary
We had a nice market rally going throughout July and early August, but by the end of the month, all of those gains were given back and then some. The traditional 60/40 portfolio lost approximately 4% as both stocks and bonds contributed to the decline.
Merlin was relatively unchanged, and it was very close to begin buying more aggressively into the long side of this market, but fortunately it held off on that decision just as stocks started their decline. Merlin remains cash heavy and patient. As for Lamorak, it was a bit early on the short side of the market and got squeezed during the first half of the month. Overall, the Trade Risk Index continues to outperform, albeit small, our 60/40 benchmark.
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