Weekly Algorithm Review: 03/11/2023 to 03/17/2023
Algorithm Performance This Week
Base Algorithm: +5.01%
Overall Market: +3.78%
Variable Market Neutral: +3.73%
Variable Sector Neutral: +3.41%
Long Term Portfolio: +2.23%
Market Neutral: +0.88%
Sector Neutral: -0.9%
This was a fantastic week for the algorithm, full stop. We beat the long term portfolio by more than 270 bps. The last three weeks have just been okay, with the total return in excess of the long term portfolio only slightly positive. With this, we move into “strong success” territory. There’s very little to dig into on these results, since they went exactly as we would expect. The base algorithm outperformed the long term portfolio we fed into it. The long term portfolio underperformed the market, but since the market did great this week and our long-term strategy is defensive, that’s to be expected. Market neutral and sector neutral both underperformed as well, but with their goal of being roughly zero beta, that’s to expected as well. Even our variable hedgers fell about where they should - between the base algorithm and their respective hedgers.
What’s In The Pipeline?
This has been a pretty big week for the quant team. First off, we’ve got the HK News Sentiment Bot back online. We’ve had this offline for a while due to one glaring issue: we had no way to differentiate real breaking news from largely unimportant stuff. So our options were to either disable it entirely, or post every article we encounter throughout the day, which was so much content nobody could effectively utilize it anyways.
Now, we have a GPT-3.5 powered screener in place. We use GPT to determine both whether an article is good or bad news (and how much so), and how important that news actually is. The news bot should only be posting the important stuff to the main channels from now on. We hope you’ll all find this a useful feature.
We’ve also launched TradeBot - a GPT-powered chatbot in our main server. It can’t handle any live analysis yet, but is integrated with our existing graphing tool. So while it can’t tell you any current technical analysis, it can show you anything our grapher can, in addition to fielding normal financial questions.
It’s not perfect. Among other things, it lacks image analysis. Because of this, it has a tendency to send appropriate charts, but then describe them inaccurately. But we think this is promising - it’s got a lot of development ahead of it. Over time, we hope to make it one of our most useful features.
Speaking of future developments for it, we recently got access to the GPT-4 API. This opens the door for a lot of improvements. The first we’re pursuing: live data analysis.
This is not on the main server right now - it’s still a work in progress. But results have been good. It’s able to process recent data more consistently than GPT-3.5, which bodes well for this rolling out. I’ll keep you all updated on results. We probably won’t be releasing this any time soon (and even when we do, we’re gonna have to limit submissions), but a few demos or temporary betas might be in the cards.
Misc. Data For The Week
