Algorithm Performance: 10/06/2022
Performance Rankings
Experimental Sector Neutral: -0.18%
Sector Neutral: -0.3%
The Market: -0.64%
Market Neutral: -0.85%
Experimental Market Neutral: -1.06%
Long Term Portfolio: -1.34%
Base Algorithm: -1.38%
What Happened And Why?
First and foremost, today wasn’t a good day for us. The complete absence of green on that chart should convey that.
Only standard market neutral beat its baseline today, so our technical signals and modeling really didn’t hold up. Yesterday’s report mentioned overuse of mean-reversion signals as a source of some bad buys.
Those same signals are still present in our losers today, but not to the same extent as yesterday. At this point, I think some deeper investigation is warranted, but due to scope it will probably have to wait for this weekend. My plan is to group the mean-reverting signals together, and see if their returns tend to come in phases or if they work consistently. If their combined performance is subpar, it could lead to a rework of how we weight our signals.
What’s In The Pipeline?
We’ve been experimenting with a new way to convert trading signals into a total “buy” rating over the last week or so. We now have a model on hand that improves backtest performance in 4 of our 5 algorithms. I want to do some more experimenting first, to see if we can improve it further. But I would definitely expect this upgrade to roll out in the near future. This is great news, because it should mean all around improved performance.
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 let’s hope for a greener tomorrow.
-Asher
