Algorithm Performance: 09/13/2022
Performance Rankings
Sector Neutral: +0.09%
Experimental Sector Neutral: -0.18%
Market Neutral: -0.87%
Experimental Market Neutral: -0.92%
Base Algorithm: -2.09%
Long Term Portfolio: -2.12%
The Market: -2.17%
What Happened And Why?
CPI. The CPI report happened. We were expecting the market to go down after it released, except for a few defensive sectors.
We were half-right. Today there was nowhere to run in the market. The sectors we expected to go flat gave out all the same. For this reason, as you’ll see below, we made the wrong choice market-hedging today. Sector hedging was the only way to make any money in today’s market.
All that said, today wasn’t great for our modeling. Only the base algo and sector neutral outperformed their baseline. The reason for this is fairly simple: most of the movement we saw today had nothing to do with technical signals. $AAPL for instance is down almost 6% intraday today. Nobody was selling AAPL because its RSI was too high, or because of ichimoku signals. The overwhelming majority of AAPL sales today were because CPI was higher than the market expected, and thus we expect a market that’s bad for AAPL as a company.
And yet despite all of that, we made money on the pilot account today. We were trading experimental market neutral, with intent to hold until eod. But with markets up at open, we decided to cash out, rather than bet on being right about both which sectors would go up and our hedging being accurate.
The markets work hard, but today, we worked harder. Shout outs to Allen for his live trading and Vlad for calling CPI numbers dead-on accurately.
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. Congratulations to everyone who made money today. Let’s hope for a greener tomorrow.
-Asher
