Algorithm Performance: 08/24/2022
Performance Rankings
The Market: +0.38%
Base Algorithm: +0.25%
Experimental Sector Neutral: +0.16%
Long Term Portfolio: +0.15%
Experimental Market Neutral: +0.1%
Market Neutral: -0.14%
Sector Neutral: -0.28%
What Happened And Why?
Today’s analysis will be short, since it’s largely within expectations. Our Base Algo underperformed the market, but this is mostly a consequence of our long-term strategy. The algo beat the portfolio we feed it, but because that portfolio is the result of us playing it safe, it lagged behind the market.
Our experimental hedgers also did well today, but lagged behind the base - on bullish days, this is to be expected. On the pilot account, we’re leaning on Experimental Sector Neutral, which has performed great. It makes money when the market’s down, it makes money when the market’s up - what’s not to love?
If ever there was a day to sell me on the experimental hedgers, this is it. The reason our non-experimental hedgers underperformed is in the modeling. Live data is really starting to agree with backtests. I’ve done a few reports now examining how their different modeling leads to different results. Rather than retread that ground, I’d like to give an update on what the HK Quant Team is working on.
Projects In The Works
I chatted with some of our users early this morning about this, but we’re going to be putting our crypto algorithm on hold. Right now, we think crypto as a whole is too risky to release as a public-facing report. If we got this to a working state, it would just be something for HK Management and the pilot account. In my opinion, that’s not enough to justify it as a time sink. Given that its backtest performance isn’t in excess of our equity algorithms anyways, we would rather use that time for projects that will benefit our users.
For the near future, we’ll be looking at alternate ways to evaluate the strength of trading signals. Unfortunately, the technical information here is too proprietary to go into, but if we make any headway on this, every one of our algorithms will improve as a result. I’ll note in a future report if this is the case.
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. Congrats to everyone who made money today. Good luck tomorrow.
-Asher
