Trading Systems Performance for December 2023

Below is a performance summary for our fully rules-based trading systems for the month of December 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 December Year to Date
S&P 500 ($SPX) +4.57% +26.19%
10-Year Treasury (IEF) +3.77% +3.64%
60/40 Portfolio (SPY/IEF) +4.25% +17.17%

Trading system performance

System December Year to Date
Trade Risk Index +2.02% +0.53%
Merlin System +4.23% -6.94%
Lamorak System -0.14% +7.91%

See Performance Disclosures: Monthly Performance. Trade Risk uses Interactive Brokers as our primary broker and reporting agent.

Trading system commentary

We got a very strong finish to the year with both treasury bonds and equities seeing follow-through to their November rally and the Nasdaq 100 even managed to close at fresh all-time highs for the first time in nearly 2 years.

Every Friday we publish video reviews on the market environment so be sure to tune into our Stock Market Weekly series on YouTube for more in-depth real-time analysis.

Thankfully our Merlin trading system had a strong December finish as well, but it goes without saying, that it severely underperformed our benchmark throughout the full year 2023. It was unfortunate to see, although, not surprising given the market environment we had and how Merlin is designed to operate. As a quick end-of-year refresher, the Merlin Trading System analyzes market breadth and primarily trades small and mid-cap stocks to earn its return in the stock market.

Market breadth was interpreted as bearish by Merlin throughout most of the year which kept it sidelined during the majority of the rally and it wasn’t until November and December when smaller cap stocks started to wake up and catch a bid. Market-cap-weighted indices and mega-cap technology did fantastic in 2023, but that’s not what Merlin focuses on trading. If and when the equity market rally broadens out, Merlin will be ready to capture profits.

Changing gears to Lamorak, our short-term trading system which did manage to earn a respectable net return of +7.91% in 2023 by placing a total of 300 trades, 181 longs and 120 short sells. Despite a very one-sided year of strong upward performance for equity markets, Lamorak broke even in aggregate on its short trades and managed to achieve a 60% win percentage on its longs.

Wrapping it all up, this was the first year of live trading where our TR Index underperformed our benchmark. In 2022 and 2021 the TR Index beat its 60/40 portfolio benchmark and when we zoom out, that’s exactly what we want to see over time, more years where the TR Index outperforms our benchmark.

If you’re looking for professional evidence-based trading systems to help you invest in individual stocks and ETFs with a focus on risk management, sign up for a $1 trial today to see if our trading systems are right for you.

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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