Algorithm Performance: 09/08/2022
Performance Rankings
The Market: +1.26%
Long Term Portfolio: +0.77%
Base Algorithm: +0.29%
Experimental Market Neutral: +0.03%
Sector Neutral: 0.0%
Market Neutral: -0.09%
Experimental Sector Neutral: -0.24%
What Happened And Why?
Full disclosure: I’m in the middle of moving, and I’m gonna be tight on time through next week. Reports will probably have to be on the shorter side until then. The timing is unfortunate because today’s results merit a deeper dive. Looking at the long term portfolio, hedged against the market and sectors, we’d have -0.04% and -0.1% today. Taking this into account, the base, experimental sector neutral, and market neutral algorithms all underperformed their baseline today - 3 out of our main 5. That hints to me that our modeling was troublesome today and, at a glance, most of the technical signals we utilize did not perform well.
I am limited in how much I can say about the signals we used today - this information is proprietary and I’ll get in trouble if I share much of it. I’ll have to give a quick summary: our biggest losses can be attributed to Kaufman Moving Averages and Heiken-Ashi style trading. I believe this wasn’t avoidable. No technical signal is 100% consistent, and it looks like we just got unlucky today. That said, the losses can be attributed in such a way that gives me an idea for a reworked system.
I theorize that we could obtain better results if we don’t look at each signal in a vacuum. How many of our signals are dependent on the mean reversion calculated via moving averages, which could be lumped together into one value for each ticker? I’d like to look into this further. If it improves returns, it would also give us a handy summary for why we like each ticker in our daily reports. When I’ve got more time on my hands, expect to see updates on this.
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. Best of luck trading tomorrow everyone.
-Asher
