Systematic Trading Update—January 12, 2026
Performance of monthly, weekly, and daily strategies
Monthly Strategies
Hybrid asset allocation is up 2.4% year-to-date. Click here for the last monthly update on December 31, 2025.
Dynamic Momentum (DYNMOM) is up 1.8% year-to-date. Click here for the last monthly update on December 31, 2025.
Weekly Strategies
The ensemble of the six strategies gained 1.3% for the week, and it is up 1.5% year-to-date with a maximum drawdown during the year at 0%.
Click here for the latest update.
Daily Strategies
1. Daily mean reversion gained 0.7% for the week and is up 2.2% year-to-date. Below is the equity performance since the start of the daily mean reversion signals on June 27, 2023.
Click here for the latest update.
2. The Dynamic-3 bundle gained 0.9% this week, and it is up 0.9% year-to-date.
The Dynamic-3 bundle includes the rules of three strategies. These long-only strategies operate in the daily timeframe.
Since 2010, the Sharpe ratio is 1.47, the annualized return is 11.9%, and there is only one down year with a 1.3% loss. Click here for more details.
3. The 0-Beta bundle gained 0.2% this week, and it is up 0.3% year-to-date.
The 0-BETA bundle includes the rules of three strategies. These strategies operate in the daily timeframe
Since 2010, the Sharpe ratio is 1.11, the annualized return is 9.2%, beta is 0.02, and there are no down years. Click here for more details.
4. The futures trend-following strategy gained 4.6% this week to new, all-time equity highs. Note that this strategy recovered after a 24% drawdown in 2025 to end the year with a gain of 13.7%. In 2024, the strategy realized its highest return since 1990, of more than 70%.
The Sharpe ratio is 0.82, and beta is -0.07. Currently, there are 16 open positions, 10 long and 6 short. Click here for more details.
Click here for more information about our systematic trading strategies.
Strategy Package
The purpose of the strategy package is to provide traders with informational content that aids in the development of trading strategies, enabling them to become professional traders or even establish their hedge fund. The package provides the rules for a total of 16 trading strategies plus the PSI5 algorithm.