Algorithmic Week In Review: 09/05/2022
Recent Performance - Friday
Sector Neutral +0.43%
Experimental Sector Neutral +0.12%
Market Neutral -0.39%
Experimental Market Neutral -0.52%
Base Algorithm -1.73%
Long Term Portfolio -1.74%
The Market -2.01%
Friday was a great day for us. Everything we published outperformed the market. That was the case 4 days out of 5 last week. Through last week, the long term portfolio and base algorithm didn’t underperform the market a single time. Major shout out to Vlad - our long term analyst. I’m very happy with that performance.
New Developments
After some outside consulting, we’ve got our cloud computing system working correctly. This means that the trading bot should be much more consistent. I would expect few, if any, crashes from here.
We’ve been running tests for a while, and we will be reworking how our systems evaluate the strengths of trading signals. The exact changes are, as always with this part of the system, too proprietary to give details on. Backtest results of all of our algorithms have improved with this change implemented. Recommendations won’t be wildly different or anything, but hopefully we’ll see a slight improvement in performance.
Our auto-trader is ready to test live. Once we can get that done, we’ll be ready to start using it. This isn’t something we’ll be releasing publicly, just a tool for running our pilot account. This will, however, open the door to more complex trading recommendations. The recommendations in our algo reports have always been limited to what we can execute by hand on the pilot each day. With this, we’re no longer bound by the man hours involved with trading.
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:
Good luck trading this week, let’s all make some money.
-Asher
