Algorithm Performance: 08/30/2022
Performance Rankings
Sector Neutral: +0.18%
Experimental Sector Neutral: +0.01%
Experimental Market Neutral: -0.14%
Market Neutral: -0.3%
Base Algorithm: -1.03%
Long Term Portfolio: -1.15%
The Market: -1.4%
What Happened And Why?
Today is a good sign for us. For the first time since Friday’s drop-off, our Base Algorithm has beaten our long term portfolio. This is a good sign for our technical signals re-adjusting properly. I’d like to see this continue tomorrow, and if we beat it again I’ll be much more open to allocating (albeit probably into a sector neutral system).
Today was incredibly tough for the market. It didn’t go down as much as Friday, sure, but the descent was really consistent. Of the tickers in our long term portfolio, only 1 of them went green without hedging (for the record, our base algorithm recommended it today). This was another day where, if you traded equities and didn’t hedge, you lost.
The move today was to hedge against sector ETF’s. The market actually had a pretty good day if we can isolate it for their influence. Most of our tickers did very well - the market as a whole just pulled them down. Like Friday, our modeling helped us out today, but not as much as our hedging. I suspect that until the market is finished bottoming out, this will continue to be the case. Our modeling will help us get an edge over our long term portfolio, but most of our losses will be mitigated by removing exposures.
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
