Algorithm Performance: 10/20/2022
Performance Rankings
Sector Neutral: -0.31%
Experimental Sector Neutral: -0.67%
The Market: -0.71%
Market Neutral: -0.78%
Experimental Market Neutral: -1.18%
Long Term Portfolio: -1.22%
Base Algorithm: -1.68%
What Happened And Why?
Today was our first day with reworked ticker evaluation. And I won’t beat around the bush - all 5 of our algorithms underperformed their baseline.
There’s an ironclad law in algorithmic trading. No matter how good your backtests, how sound the theory, how consistent the system: the first day you put money into it is the day it fails. It sucks that this happened today of all days, but I’m weirdly not too beat up about it. I think this has happened almost every time we’ve rolled out a new system, and almost all of them later performed more on-par with backtests.
If our system keeps performing at this level, we’ll revert to the old system.
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. Thank you all for reading, let’s hope for some more green tomorrow.
-Asher
