Trading Systems Performance for October 2022
Below is a performance summary for our fully rules-based trading systems for the month of October 2022. To learn more about these systems and to follow along in real-time with their signals, check out our Trading Systems page.
October markets at a glance
| Market | October | Year to Date |
|---|---|---|
| S&P 500 ($SPX) | +8.13% | -17.75% |
| 10-Year Treasury (IEF) | -1.46% | -16.91% |
| 60/40 Portfolio (SPY/IEF) | +4.29% | -17.41% |
Trading system performance
| System | October | Year to Date |
|---|---|---|
| Trade Risk Index | -1.26% | -15.67% |
| Merlin System | +0.09% | -21.06% |
| Lamorak System | -2.70% | -10.73% |
See Performance Disclosures: Monthly Performance. Trade Risk uses Interactive Brokers as our primary broker and reporting agent.
Trading system commentary
We had a stock market rebound in October with the S&P500 lifting 8% bringing its year-to-date losses to -17.75%. Fixed income markets are still a mess and struggling to keep from setting new multi-year high yields.
The Trade Risk Index lost some ground this month and traded to new new lows for the year (-15.67%). The recent slide continues to come from our short-term trading system, Lamorak, which felt more pressure in October. Lamorak was very specific on shorting financials and Dow related components this month, but the Dow had other plans in mind and went on to have one of its best month in decades:
Remember, Lamorak is a short-term counter trend trading system, so when markets put in record-type moves such as this, it is usually when the system will encounter its drawdowns. A 2.70% loss for Lamorak in October is pretty standard given this context.
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