Trading Systems Performance for July 2023
Below is a performance summary for our fully rules-based trading systems for the month of July 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 | July | Year to Date |
|---|---|---|
| S&P 500 ($SPX) | +3.27% | +20.62% |
| 10-Year Treasury (IEF) | -0.65% | +1.30% |
| 60/40 Portfolio (SPY/IEF) | +1.70% | +12.89% |
Trading system performance
| System | July | Year to Date |
|---|---|---|
| Trade Risk Index | -0.08% | +4.37% |
| Merlin System | -0.73% | -4.10% |
| Lamorak System | +0.58% | +12.87% |
See Performance Disclosures: Monthly Performance. Trade Risk uses Interactive Brokers as our primary broker and reporting agent.
Trading system commentary
July was another strong month for the stock market with the S&P500 finishing up over 3% led by energy stocks and financials. Meanwhile, we got trend continuation (lower) for the bond market as the 10-year treasury bond fell -0.65% throughout the month.
Both of our Merlin and Lamorak trading systems were pretty quiet this month with net movement under 1%. Merlin continues to increase exposure to the stock market and is looking for new long setups while Lamorak trades short-term around the edges of turning points. There weren’t a whole lot of surprises or noteworthy moves to comment on in July, which is generally a good thing.
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