Algorithm Performance: 10/19/2022
Performance Rankings
Experimental Sector Neutral: +0.01%
Sector Neutral: -0.02%
The Market: -0.13%
Experimental Market Neutral: -0.26%
Base Algorithm: -0.29%
Market Neutral: -0.34%
Long Term Portfolio: -0.44%
What Happened And Why?
Today, only Sector Neutral lost relative to its baseline - and Market Neutral about tied its. That gives a solid win rate today. We underperformed the market, but that’s mainly due to the long term portfolio underperforming. I don’t see a day of that as a big deal - its investment horizon is several months on the low end. All in all, I’m considering today a win for us. The algorithm did well, and while the LTP didn’t do great, it did not-great in a non-concerning way.
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:
I want to finish with some news: the updated ticker evaluator has been rolled out. The algo reports published tonight will be the first to include this new change. Let’s see how it goes over - I have strong hopes for it.
That’s all for tonight. Thank you for reading, and good luck trading tomorrow.
-Asher
