Algorithmic Week In Review: 10/02/2022
Recent Performance - Friday
Sector Neutral: -0.1%
Experimental Sector Neutral: -0.31%
Experimental Market Neutral: -0.54%
Market Neutral: -0.7%
The Market: -1.28%
Base Algorithm: -1.37%
Long Term Portfolio: -1.81%
Looking at the portfolio with market and sector hedging, we would have seen returns of -0.92% and -0.27%, respectively. That brings us to 4 of our 5 systems beating their baseline on Friday, and the one loser we did see was only by 0.04%. All in all, pretty good for a day where everything lost money!
The last week and a half or so presented us some trouble with technical modeling. Specifically, in that most of the technical signals we use didn’t hold up. This is something we’ve seen a couple of times. When the market takes the right (or wrong) turn, it can throw our signals out of whack, making them take some time to readjust. When this happens, we back off of the algo reports and just trade the portfolio itself until we see signs of readjustment.
I’m cautiously optimistic, but this phase seems to have passed by. I’m interested in getting back to trading with our algo reports.
What’s In The Pipeline?
I’ve spent the weekend looking evaluating combinations of technical signals. I elaborated on this a bit in our Thursday report, and it’s looking promising! Nothing good enough to roll out yet, but enough to warrant continued investigation. I’ll keep the updates coming on this, but I expect this one to take a while. Because every new model requires a full backtest to evaluate, progress is slow. This might end up as more of a background project than a main focus.
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. Congrats to everyone who made money last week, let’s hope for some green this one.
-Asher
