Algorithmic Week In Review: 10/16/2022
Recent Performance - Friday
Experimental Market Neutral +0.97%
Experimental Sector Neutral: +0.32%
Market Neutral: +0.23%
Sector Neutral: -0.08%
Base Algorithm: -1.58%
Long Term Portfolio: -1.9%
The Market: -2.96%
Friday’s performance is pretty in-line with expectations, so I don’t have much to say about it. We held the long term portfolio on the pilot (it was that or the base after Thursday’s bull market). Pre-market that day I didn’t trust our technicals, since major shakeups can throw them out of whack for a few days. I was somewhat right - since 3 of our 5 systems underperformed their baseline. I was, unfortunately, wrong about the specific one we were looking at (the base), so we left some money on the table there.
What’s In The Pipeline?
We have 2 exciting changes rolling out this week. They should come together to make using the algorithm a better experience for all of us.
I’ve refactored the process augmenting our stock data and analyzing trading signals. This doesn’t change what the algorithm says, but it makes it say those things faster. You might have noticed that on Friday the algo reports came out around 5:45 PM CST, as opposed to 8 PM CST it used to. That’s here to stay, and it’ll open a few doors for us. First, if you like to trade with the algorithm reports each day, you’ve now got an extra 2 hours the night before to review them. Second, this opens the door for us to use more complex signals. Calculation time is less of an issue now, so this is something we’re able to look into.
As mentioned in previous reports, we’ve been experimenting with alternate methods of assigning strengths to each trading signal. We have a version that we’re happy with and are going to implement it. In backtests, it has increased the Sharpe ratio of all 5 of our main algorithms. This should lead to better results all around.
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, let’s make some big money this week.
-Asher
