Trading Systems Performance for June 2023
Below is a performance summary for our fully rules-based trading systems for the month of June 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 | June | Year to Date |
|---|---|---|
| S&P 500 ($SPX) | +6.48% | +16.79% |
| 10-Year Treasury (IEF) | -1.26% | +1.97% |
| 60/40 Portfolio (SPY/IEF) | +3.39% | +10.86% |
Trading system performance
| System | June | Year to Date |
|---|---|---|
| Trade Risk Index | +6.17% | +4.45% |
| Merlin System | +3.38% | -3.40% |
| Lamorak System | +8.67% | +12.22% |
See Performance Disclosures: Monthly Performance. Trade Risk uses Interactive Brokers as our primary broker and reporting agent.
Trading system commentary
June was a strong month for the stock market which added to an already impressive recovery rally throughout 2023. We also got a moderate expansion in breadth and the number of stocks participating in the rally, which was one of the things we were looking forward to and commented on in last month’s report. Fixed income, on the other hand, saw interest rates spike across the curve driving bond prices lower.
We saw strong performance out of our Merlin and Lamorak trading systems for the month of June. Merlin benefited from a more diverse set of stocks trending higher (finally outside of mega-cap technology) since it’s been steadily raising long exposure over the past handful of weeks.
Lamorak had an even more impressive month, adding 8.67% to its bottom line thanks to some very tactical and active trading both on the long and short side. Here were the stats for the trading system this month and there will be a separate blog post coming soon expanding on this month’s action:
Lamorak Report
6/2/2023 – 6/30/2023
All Trade Stats
Total number of trades: 31
Number of winners: 27
Number of losers: 5
Win Percentage: 87.1%
Average winning trade: 2.58%
Average losing trade: -3.13%
Win/Loss Ratio: 0.82
Total Percent Captured: 53.98%
Long Trades
Total number of trades: 16
Number of winners: 14
Number of losers: 2
Win Percentage: 87.5%
Average winning trade: 2.18%
Average losing trade: -0.4%
Win/Loss Ratio: 5.45
Total Percent Captured: 29.7%
Short Trades
Total number of trades: 16
Number of winners: 13
Number of losers: 3
Win Percentage: 81.25%
Average winning trade: 3.01%
Average losing trade: -4.95%
Win/Loss Ratio: 0.61
Total Percent Captured: 24.28%
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