Algorithm Performance: 10/03/2022
Performance Rankings
Base Algorithm: +1.61%
The Market: +1.53%
Long Term Portfolio: +1.38%
Experimental Market Neutral: +0.39%
Market Neutral: +0.18%
Experimental Sector Neutral: +0.1%
Sector Neutral: -0.07%
What Happened And Why?
We have 3 of our 5 systems beating the market today - base, and both experimentals. That’s all 3 of our systems using raw price performing well today, which I’ll take as a win.
The performance of our hedgers was lacking today, but in-line with the performance of the hedging techniques themselves. Disappointing, but we aren’t considering it a modeling failure.
This is one of those days where there isn’t much to discuss. For the most part, everything worked as intended. 2 of our 5 systems underperformed, but that’s not a bad performance today - plus those 2 are the ones we’re least optimistic on overall.
I also have no major updates on our reworked modeling systems. I’m trying to combine our two systems, as they each have things that work well. Our current system’s ability to identify useful signals is something we want to keep. But our new system’s more advanced mapping of signals has a lot of potential. I have a test running on a hybrid model as I write this. Tomorrow morning we’ll hopefully have good results.
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 - let’s keep it going tomorrow!
-Asher
