Algorithmic Week In Review: 10/23/2022
Recent Performance - Friday
The Market: +2.51%
Base Algorithm: +2.25%
Long Term Portfolio: +2.05%
Sector Neutral: +0.0%
Experimental Market Neutral: -0.04%
Market Neutral: -0.12%
Experimental Sector Neutral: -0.23%
Our first few days with the reworked system have been sub-par. Only our base algorithm beat its baseline on Friday. Based on backtests, I don’t think this is the fault of our new system. Rather, it seems like the last couple of days have been difficult for technical indicators as a whole. At the end of next week, we’ll review our new system relative to the old one and see if it is in fact the problem, or if it’s surpassed its old counterpart.
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 best of luck this week.
-Asher
