Trading Systems Performance for January 2023
Below is a performance summary for our fully rules-based trading systems for the month of January 2023. To learn more about these systems and to follow along in real-time with their signals, check out our Trading Systems page.
December markets at a glance
| Market | January | Year to Date |
|---|---|---|
| S&P 500 ($SPX) | 6.29% | 6.29% |
| 10-Year Treasury (IEF) | 3.58% | 3.58% |
| 60/40 Portfolio (SPY/IEF) | 5.21% | 5.21% |
Trading system performance
| System | January | Year to Date |
|---|---|---|
| Trade Risk Index | 0.92% | 0.92% |
| Merlin System | 1.58% | 1.58% |
| Lamorak System | 0.26% | 0.26% |
See Performance Disclosures: Monthly Performance. Trade Risk uses Interactive Brokers as our primary broker and reporting agent.
Trading system commentary
It’s a new calendar year and it certainly feels like a new market environment. Stocks and bonds are in recovery rally mode and the momentum in beaten-up technology stocks has been strong. Merlin has been increasing its exposure to this market for the first time in about six months and the majority of its buys have been in cyclical, industrial, and select defensive names.
Lamorak didn’t quite participate in the strong January rally, but more importantly, it didn’t get run over in the aggressive short squeeze we saw. Lamorak historically does best in sideways, choppy, and volatile markets, but strong up or down markets is where it often takes losses.
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