Trading Systems Performance for August 2023
Below is a performance summary for our fully rules-based trading systems for the month of August 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 | August | Year to Date |
|---|---|---|
| S&P 500 ($SPX) | -1.63% | +18.66% |
| 10-Year Treasury (IEF) | -0.73% | +0.56% |
| 60/40 Portfolio (SPY/IEF) | -1.27% | +11.42% |
Trading system performance
| System | August | Year to Date |
|---|---|---|
| Trade Risk Index | -2.69% | +1.56% |
| Merlin System | -4.61% | -8.52% |
| Lamorak System | -0.77% | +12.00% |
See Performance Disclosures: Monthly Performance. Trade Risk uses Interactive Brokers as our primary broker and reporting agent.
Trading system commentary
August finally brought a little bit of turbulence for stock and bond markets as all major US indices closed lower for the month after a spike to the high teens for the VIX Volatility Index. Despite mild market turbulence during a seasonally weak period stocks remain in the same technical uptrends they’ve been in all year long.
The Merlin Trading System took the turbulence a little bit harder as it got shaken out of more of its long positions and pretty significantly reduced its equity exposure to this market throughout the month. We often see behavior like this in Merlin before overall indices make a bigger correction so time will tell. Lamorak, on the other hand, absorbed the volatility a little bit better but still finished down just shy of 1% on the month.
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