Algorithm Performance: 09/28/2022
Performance Rankings
The Market: +1.69%
Base Algorithm: +1.59%
Long Term Portfolio: +0.94%
Sector Neutral: +0.19%
Experimental Sector Neutral: +0.17%
Market Neutral: +0.16%
Experimental Market Neutral: +0.1%
What Happened And Why?
If yesterday’s performance was good for our algorithms, today’s is even better! Sure, everything we publish lost to the market, but that’s more attributable to the long term portfolio. And with the LTP’s goal being defensive play, that’s to be expected.
Our long term portfolio, with market / sector hedging, would have returned us -0.21% and -0.01%, respectively. This means that all 5 of our algorithms beat their baseline. With the momentum of yesterday, this is a great sign for technical analysis!
But our portfolio only had a few red tickers in it today - we have to consider whether this could be attributable to the law of small numbers. While that’s always possible on some level, I don’t think it is today.
Of the 50 tickers in our portfolio, 8 of them went red today. But despite choosing 15 tickers from it, our base algorithm didn’t get any of them. If we had chosen 15 tickers randomly, the odds of this happening would have been less than 5%. Not crazy, but a good sign that our modeling was on target today.
Similarly, 21 out of 50 tickers went red when accounting for sector hedging, but our experimental sector neutral algorithm only had 7 of its 24 tickers go red. Similarly, had we chosen randomly, the odds of this would be about 7%. Not impossible that we just got lucky today, but another great sign for us.
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. Thanks for reading and congrats to everyone who made money today. Let’s keep it going tomorrow!
-Asher
