Trading Systems Performance for May 2021
Below is a performance summary for our trading strategies for the month of May 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 May
| Strategy | May | Year to Date |
|---|---|---|
| Merlin | -3.26% | +19.62% |
| Lamorak | -1.54% | +14.48% |
| 60/40 Benchmark | +0.56% | +5.87% |
See Performance Disclosures: Monthly Performance.
Merlin closed trades in May
Merlin varies position size based on the individual stock, so R-Multiples are important measures of account impact.
| Closed Trades | Return on Signal | R-Multiple |
|---|---|---|
| IAC | 6.74% | 0.351 |
| XPEL | 55.43% | 1.5 |
| RGLD | 13.93% | 1.5 |
| PKI | 11.36% | 1.5 |
| HLI | 11.95% | 1.5 |
| GRBK | 10.51% | 0.5 |
| XLRN | 7.68% | 0.5 |
| HIMS | -20.03% | -1 |
| FRHC | -16.27% | -1 |
| FTCH | -18.68% | -1 |
| QRVO | 7.84% | 0.5 |
| AMD | -16.33% | -1 |
| FLGT | -26.26% | -0.99 |
| TTD | -20.38% | -1 |
| IMGN | -17.59% | -1 |
| HZO | 23.04% | 1.51 |
| CLXT | -23.63% | -1.01 |
| XLP | 23.19% | 1.5 |
| MRTX | -18.27% | -1 |
| FSLY | -32.30% | -1.45 |
| EXPI | -27.21% | -1.1 |
| PTON | -13.81% | -1 |
| ATER | -29.81% | -1.05 |
Lamorak closed trades in May
| Closed Trades | Return on Signal |
|---|---|
| SGEN | 3.20% |
| TCOM | 4.77% |
| DIS | 1.35% |
| BIIB | -1.09% |
| BIDU | -8.02% |
| WDAY | -1.53% |
| OKTA | -4.37% |
| DOCU | -6.49% |
| DD | -0.88% |
| LLY | -0.30% |
| NXPI | 1.94% |
| AMD | -0.57% |
| ABT | -0.79% |
| LRCX | 2.49% |
| MSFT | 1.82% |
| ZM | -5.71% |
| KLAC | 0.53% |
| JNJ | 1.91% |
| AEP | 3.05% |
| TCOM | 3.39% |
Lamorak equal weights position size across all trades, so no R-Multiple are necessary to compare signal profitability.
Trading system commentary
43 closed trades | 47% winners
Both of our trading systems gave some gains back this month and trailed our 60/40 benchmark. Merlin felt the pressure at the start of the month due to its concentration in growth and technology stocks which sold off fairly aggressively in those first few weeks.
I tweeted out this on May 13 when Merlin was down about 10% for the month:
Deposited fresh funds to a trading system that’s in drawdown right now for all of the right reasons. Just like a stock, adding funds to your account during equity pullbacks, can be a great technique to put cash to work.
— Evan Medeiros (@EvanMedeiros) May 13, 2021
The goal isn’t to perfectly time my equity curve, rather, it’s to recognize more favorable times to bring cash off the sidelines. By the end of the month, it managed to claw back some of those losses to finish down -3.26%.
Lamorak also got a little chopped up this month and couldn’t quite string together enough consecutive winners. Typically, more volatility and range bound trading is when this system does best, but that’s obviously not always a guarantee.
All in all, both systems are doing great year-to-date in terms of performance and continue to perform as expected given market conditions.
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.
