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:

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.

Evan Medeiros

Evan is the founder of the Trade Risk. With 25 years of coding experience and a B.S. in computer science, Evan brings a systematic discipline to investing in the stock market.

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