Algorithm Performance: 10/20/2022
Performance Rankings
Base Algorithm: +0.88%
Long Term Portfolio: +0.84%
The Market: +0.79%
Experimental Market Neutral: +0.27%
Market Neutral: +0.08%
Sector Neutral: -0.1%
Experimental Sector Neutral: -0.16%
What Happened And Why?
Today was better than Friday. Our algorithm of choice today beat everything, and 2 of our 5 beat their baseline. Not great, but I might have found the reason we’ve underperformed the last few days.
When we updated our data augmentation system, one of the trading signals we use wasn’t being recorded properly. (Note that this isn’t the update that’s expected to improve our results - this is an unrelated update that just lets us calculate our reports faster). Specifically, our problem was the Arms Indicator. We were correctly calculating it for historical dates, but a problem in our system prevented us from applying it correctly to the current date. The short summary is: our system has been rolling out predictions as if the S&P 500 was much more positive that it actually has been.
This error is now fixed, and our system is calculating it correctly. It’s unlikely this had a major effect on things, but I’m sure it didn’t help.
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 for reading, and congrats to everyone who made money today. Let’s keep it going tomorrow.
-Asher
