Algorithm Performance: 08/16/2022
Performance Rankings
Base Algorithm: +0.81%
Long Term Portfolio: +0.75%
Kokomo: +0.53%
The Market: +0.46%
FeelGoodInc: +0.43%
GoodVibrations: +0.0%
What Happened And Why?
Not a lot happened that’s worth explaining. The market and our long term portfolio went up. The Base Algo outperformed (thanks in part to our Long Term Portfolio doing great), our hedgers mostly underperformed, but our beta FeelGoodInc outperformed the other sector hedger by a mile. As I recommended in an earlier report, we’re now releasing FeelGoodInc publications in our experimental chat. That’s currently only available to platinum users and up. But if it keeps winning, expect it to replace GoodVibrations in the public releases.
Interestingly, this is the first time one of our algos has ended up completely in the black for the day. Because FGI beat it by such a large margin, I’m looking at this as superior modeling, rather than better hedging or luckier exposures.
If we’d held the entire portfolio, hedged for sectors, we would be up +0.14%. With GV underperforming and FGI outperforming this metric, it continues to backup a modeling difference.
What’s In The Pipeline?
Since there’s not much to talk about from today’s performance, I’d like to give everyone an update on what the HK Quant Department is working on.
Updating The Trading Bot: I’ll level with you all, this has been giving us trouble. The bot has been highly inconsistent the last couple days. We’re currently looking into why this is. The bot works perfectly in simulations, which makes the problem difficult to diagnose. We’ll keep giving updates on this. We hope to have it up consistently by the end of this week.
Automated Trading: We’re still interested in automatically entering and exiting our daily positions in the pilot account. That said, this is mostly taking a back seat to hedging research. We expect some big market drops in the not too distant future, so we want to front-load on as much hedging research as we can. If we come up with an improved version of FeelGoodInc, we want to have it as soon as possible so we can have it in production by the time those drops come.
Replicating Congress Stockholdings: It’s no secret that senators make great traders. This is something we’re interested in - especially if you all are excited about it. Ideally, we’d like to publish a weekly algorithmic report giving target allocations, based on what senators are holding and how their portfolios have performed in the past.
Improving The News Bot: The news bot has never been that consistent with its analysis (for example, today it classified $WMT’s price jumping up as bad news). Part of this reason is it has trouble accessing the full articles (a lot of websites restrict web-crawling). In these cases, it has to go solely off the title of the article. I’d like to see if other data sources can give us direct access to work around this. Its sentiment analysis could also use improvement, but no one at the HK team has experience with automated sentiment analysis. That improvement might be a longer way off.
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, best of luck tomorrow.
-Asher
