Trading Systems Performance for September 2023
Below is a performance summary for our fully rules-based trading systems for the month of September 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 | September | Year to Date |
|---|---|---|
| S&P 500 ($SPX) | -4.74% | +13.03% |
| 10-Year Treasury (IEF) | -3.14% | -2.59% |
| 60/40 Portfolio (SPY/IEF) | -4.10% | +6.78% |
Trading system performance
| System | September | Year to Date |
|---|---|---|
| Trade Risk Index | -4.62% | -3.13% |
| Merlin System | -3.55% | -11.77% |
| Lamorak System | -5.64% | +5.68% |
See Performance Disclosures: Monthly Performance. Trade Risk uses Interactive Brokers as our primary broker and reporting agent.
Trading system commentary
Classic September seasonality was in full swing this year as stocks continued their move lower for the second month in a row. Bonds didn’t fair any better, as the 10-year treasury bond ETF IEF moved negative for year-to-date returns.
Both our Merlin and Lamorak trading systems were very much correlated and caught in this month’s sell-off. Merlin extended its YTD drawdown to double-digit territory and Lamorak finally saw some downside volatility for the first time in about a year. Both trading systems continue to perform as expected given current market conditions.
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