Trading Systems Performance for March 2023
Below is a performance summary for our fully rules-based trading systems for the month of March 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 | March | Year to Date |
|---|---|---|
| S&P 500 ($SPX) | +3.71% | +7.46% |
| 10-Year Treasury (IEF) | +3.72% | +3.92% |
| 60/40 Portfolio (SPY/IEF) | +3.72% | +6.05% |
Trading system performance
| System | March | Year to Date |
|---|---|---|
| Trade Risk Index | -1.65% | -1.78% |
| Merlin System | -6.71% | -7.71% |
| Lamorak System | +2.99% | +4.35% |
See Performance Disclosures: Monthly Performance. Trade Risk uses Interactive Brokers as our primary broker and reporting agent.
Trading system commentary
Stocks and bonds put together a great rebound rally throughout the month of March following their red February. The technology sector (and mega caps generally) were the leaders lifting up the market cap-weighted indices.
Our trading systems finished mixed on the month, and if we look at Lamorak first, which finished up 2.99% it was fairly quiet with only 19 closed trades. All of those trades were on the long side with a 58% win percentage and its winning trades bigger than losers.
Unfortunately for Merlin, the market couldn’t carry it up, despite only having long positions on, it didn’t seem to hold much of anything that was moving up. Merlin lacked the technology and mega-cap exposure and therefore underperformed by a pretty wide margin finishing down 6.71%. I would suspect if this market rally gets some legs and breadth expands, Merlin would play some catch-up, but as of right now, it’s still waiting for its long exposure to come into favor.
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