Algorithm Performance: 11/22/2022

Daily Performance

1. The Market: +0.82%

2. Long Term Portfolio: +0.39%

3. Base Algorithm: +0.1%

4. Variable Sector Neutral: +0.1%

5. Variable Market Neutral: -0.11%

6. Sector Neutral: -0.25%

7. Market Neutral: -0.45%

There is a law of trading algorithms I’ve mentioned before. No matter how good your backtests, the first day you roll out a tweak to your strategy is the day it underperforms. That in mind, it almost relieves me to see that law in place.

To those unaware, we’ve rolled out an update to our strategies today. They’re all machine-learning systems, and in their training data, they will now give greater weights to more recent trading days. We’ve added this because, when the market suddenly shifts directions, our systems tend to take a few days to adapt. This should allow them to adapt much faster, giving us more consistent use time.

In-Depth Performance

Tomorrow’s Exposures

That’s all for tonight. Best of luck tomorrow.

-Asher