Systematic Trading Update—April 2026
Monthly Signals
Hybrid Asset Allocation
The hybrid asset allocation ensemble (HAA) gained 5.5% in April 2026, and it is up 11% year-to-date. Click here for the last update on May 1, 2026.
One of the two strategies in the ensemble, CSMOM, is up 14.9% year-to-date, and a position in commodities has contributed the most toward the outperformance of the benchmark.
Note that CSMOM held a long position on gold (IAU ETF) from April 1, 2024, to January 2, 2026, which gained 93%.
The other strategy in the HAA ensemble, MOMTF, is up 7.1% year-to-date. The Sharpe ratio of HAA is about double that of a buy-and-hold SPY ETF, 1.74 versus 0.89.
Dynamic momentum
Dynamic momentum (DYNMOM) gained 10.5% in April 2026, and it is up 5.7% year-to-date. Click here for the last monthly update on May 1, 2026.
DYNMOM has a Sharpe ratio of 1.11. The annualized return is 10.3%, and the maximum drawdown is 18%. The analysis of the results shows that this strategy has avoided the 2008, 2018, 2020, and 2022 corrections. There have been 23 trades since 2005, and the win rate is 91.3%. The average profit/loss has been 10% with a market exposure of 67%.
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