Algorithm Performance: 11/02/2022
Performance Rankings
Sector Neutral: +0.6%
Market Neutral: +0.46%
Variable Market Neutral: -0.62%
Variable Sector Neutral: -0.65%
Base Algorithm: -1.48%
Long Term Portfolio: -1.51%
The Market: -2.35%
What Happened And Why?
First off, apologies for missing yesterday’s report. Second off, today was a great day for us, all cylinders fired. Every algo beat their baselines, our long term portfolio crushed the market, and even the variable hedgers placed right about where we expected to see them. With the big FOMC event today, I was pretty up in the air on our algos. They have a lot of trouble when market moves have little to do with technical indicators. For this reason, we closed out of algo positions on the pilot before the event.
As a fun exercise, see if you can guess where the FOMC news broke
I also want to give some quick comments on the intraday bot while we’re here. This week, we’ve rolled out a change to it. Instead of only giving notifications for the 50-ish tickers in our proprietary long term portfolio, we’re giving notifications for the entire S&P 500. To prevent them from becoming too cloggy, we’re not sending any notifications into the main chat the first 15 minutes of market open.
Additionally, we’re now looking to monitor active trade volume and bid-ask spreads of the tickers we give notifications on. The thresholds are going to come from the HK traders, but intend to just ignore tickers that are too difficult to trade, and add a warning to notifications for ones that are just a little short on volume, or subject to more slippage.
As a reminder, we always advise our users to do their due diligence before making a trade. Never take one just because we mention it.
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 hope for a little more green tomorrow.
-Asher
