Algorithm Performance: 08/15/2022
Performance Rankings
Base algorithm: +0.99%
The market: +0.96%
Long term portfolio: +0.9%
Kokomo: +0.44%
Goodvibrations: +0.2%
FeelGoodInc: -0.07%
What Happened And Why?
There’s an ironclad law in algorithmic trading. No matter how good the backtest, how good the theory, or how good the paper trading, the day you put real money into a system is the day it underperforms. My first reason FGI did poorly is a consequence of this. Today, for the first time, we put money into it on the pilot.
To explain the real reason FGI went down today, most individual stocks went down today.
But that can’t be true? Look at the distribution of our long-term portfolio. Almost everything in our universe is up today. Let me elaborate with the following:
The market did great today. Sectors did great today. But look at the previous 2 charts. If we examine each stock we consider, independent of gains/losses it made as a result of the market pulling it, and its sectors pulling, most of our portfolio didn’t do well. We aren’t in the green because our stocks represent companies that did well, we’re in the green because our portfolio is high-beta and filled with sectors that made great gains today.
To be clear, I don’t fault the long term portfolio at all for this. It’s not designed with a goal like that in mind.
If we had taken the total return of our long term portfolio today, controlled for all sectors, we would see a return of -0.08%. In this sense, FGI about matched its performance. I will not call this a win for the system, however, because that’s a massive reach on my part.
The rest of today’s performance is quite sensible. The market did well, so our base algorithm also went up - outperforming it today. Kokomo underperformed, and GoodVibrations moreso. Almost all of this is to be expected. FGI is the only real outlier here, and hopefully that pattern won’t persist.
Tomorrow’s Outlook
The full algorithm reports will be published tomorrow morning, once Allen has had a chance to vet its recommendations. In the meantime, here are our tentative exposures for the trading day tomorrow:
That’s all for tonight. Thank you all for reading. Congrats to everyone who made money today, let’s keep it up tomorrow.
-Asher
