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%|
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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