Trading Systems Performance for December 2020

Below is a performance summary for our trading strategies for the month of December 2020. To learn more about the strategies and to follow along in real-time with their signals, please visit the Trading Systems page.

System performance for December

Strategy December Year to Date
Merlin +7.55% +15.65%
Lamorak +0.93% +25.50%
60/40 Benchmark +2.13% +15.03%


See Performance Disclosures: Monthly Performance.

 

Merlin closed trades in December

Closed Trades Return on Signal R-Multiple
IDN 51.65% 1.5
HUYA -19.54% -1.02
SPWH 33.84% 1.51
GSX -15.10% -1
HZNP 6.07% 0.51
AVLR 34.99% 1.5
DOMO 34.84% 1.66
EVH 27.57% 1.5
DOYU -9.27% -0.99
BX 11.99% 1.5

 

Merlin varies position size based on the individual stock, so R-Multiples are important measures of account impact.

 

Lamorak closed trades in December

Closed Trades Return on Signal
NFLX 3.34%
AMAT -1.61%
TCOM -0.56%
WMT 0.14%
AMD 0.16%
GOOGL 0.70%
COST 0.38%
BRK-B 0.79%
PFE -1.19%
ALL 1.31%
DOCU 1.21%
LSXMK 3.37%
SGEN -4.94%
VRTX 1.32%
TMUS 0.49%
BMRN 4.32%
ABT 1.92%
ALGN 5.69%
EA -4.18%
UNH 1.30%
ACN 8.61%
MO 0.56%
MSFT 2.36%
AMZN 2.76%
PM -3.84%
REGN -4.36%
IDXX 1.99%
OXY -10.52%
COF 0.12%
T -4.05%
CTXS -2.29%
CSCO -2.70%
ILMN 1.39%
NTES 3.63%
EMR 3.48%
INTC -3.28%
UNP 0.44%
AAPL 0.15%
LULU -6.74%
PG 0.44%
UNH 3.79%
DXCM 2.56%
BMRN -1.06%

 

Lamorak equal weights position size across all trades, so no R-Multiple are necessary to compare signal profitability.

 

Merlin commentary

It came right down to the wire, but after back-to-back high single digit monthly returns for Merlin, we finished the year with a respectable +15.65% return for 2020, inching out just ahead of our 60/40 benchmark. These last two months have been very strong for the strategy and it once again illustrates that returns can come quickly and aggressively, in a short amount of time, so sticking with the process, is always the best course of action.

 

Lamorak commentary

Lamorak was very active for the month of December with 43 closed trades and 29 of them winners for a 67.44% strike rate. Lamorak closed the month up almost 1% capping a very strong 25.50% return for 2020. These past two months show the difference in our two trading systems, when markets melt-up and trend cleanly, it’s Merlin’s time to shine. Lamorak, on the other hand, likes two-way volatility, and November and December was very much one-sided and not so volatile.

 

2020 year commentary

What a year it was for financial markets. The chaos in the first quarter seems like a distant memory, but surviving that period and rallying back from the depths was something I was very pleased to see with both trading systems. In our February and March performance reports, I talked more about the stress test and numbers first hand, so revisit those posts if you missed them. I already can’t wait to see what 2021 has in store for these two systems.

If you’re looking for professional evidence-based strategies to help you trade individual stocks and ETFs, visit our Trading Systems page to learn more.

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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