Trading Systems Performance for February 2021
Below is a performance summary for our trading strategies for the month of February 2021. 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 February
| Strategy | February | Year to Date |
|---|---|---|
| Merlin | -0.77% | +11.67% |
| Lamorak | +3.02% | +3.34% |
| 60/40 Benchmark | +0.72% | -0.33% |
See Performance Disclosures: Monthly Performance.
Merlin closed trades in February
| Closed Trades | Return on Signal | R-Multiple |
|---|---|---|
| WTRG | -6.99% | -1 |
| BTG | -15.53% | -1 |
| AEM | -12.66% | -1 |
| LMNX | 25.45% | 1.5 |
| KNSL | -13.71% | -1 |
| DISH | 6.99% | 0.48 |
| EBS | 10.12% | 0.39 |
| ZM | 5.94% | 0.39 |
| PLMR | 14.74% | 0.50 |
| WING | 8.46% | 0.5 |
| POOL | -7.05% | -1 |
| TSCO | 18.84% | 1.5 |
| TWOU | 49.04% | 1.5 |
| SGEN | 8.32% | 0.5 |
| GNMK | 46.42% | 1.63 |
| VEEV | 15.62% | 1.5 |
| ACMR | 36.67% | 1.5 |
| CLX | -11.01% | -1 |
| SCPL | 30.01% | 1.66 |
| WPM | 6.81% | 0.69 |
Merlin varies position size based on the individual stock, so R-Multiples are important measures of account impact.
Lamorak closed trades in February
| Closed Trades | Return on Signal |
|---|---|
| ISRG | 1.82% |
| TMUS | 1.15% |
| V | 5.73% |
| SBUX | 0.94% |
| PAYX | 4.50% |
| WFC | 1.53% |
| WBA | 5.35% |
| EXC | 0.14% |
| GD | -3.31% |
| ABBV | 0.83% |
| SPG | -4.36% |
| SPLK | 0.71% |
| MO | 0.76% |
| AIG | 1.96% |
| CTAS | 3.47% |
| ADBE | 0.09% |
| AMGN | 2.80% |
| CRM | 0.94% |
| LLY | 1.06% |
| KDP | 2.01% |
| BK | 1.72% |
| PCAR | 6.48% |
| SGEN | 2.08% |
| DOW | 4.68% |
| BAC | -0.61% |
| MS | -2.46% |
| VRSK | 0.39% |
Lamorak equal weights position size across all trades, so no R-Multiple are necessary to compare signal profitability.
Merlin commentary
Merlin’s had a strong stretch of outperformance lately so it only makes sense to see the system cool off a bit and put in a slightly negative month. The system began the month of February strong, but by the end of it, as the broad market began to pull back and sell off, Merlin felt the pressure and began getting stopped out of some of its holdings. Despite some exits, it remains heavily invested going into March.
Lamorak commentary
As volatility rises, and the market outlook becomes more uncertain, our expectations is that Lamorak will begin to rotate into favor, and that’s exactly what we saw this month. A positive 3.02% return and a strong start to the month as equities continue to face headwinds.
Note: we made an update to the way we were reporting performance for Lamorak. Previously, we had been calculating performance based on closed trades for the month only, but now we have updated numbers to track performance mark-to-market with commissions, slippage, and all real market impact accounted for. This will give us an apples to apples comparison between Merlin, Lamorak, and our benchmark.
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.
