Algorithmic Week In Review: 11/20/2022
Recent Performance - Friday
Market Neutral: +0.95%
Variable Market Neutral: +0.83%
Base Algorithm: +0.68%
Sector Neutral: +0.16%
Long Term Portfolio: +0.14%
Variable Sector Neutral: +0.06%
The Market: -0.43%
To finish off a rough week, we had a great day! Every algo beat its baseline, and none of them were close. We at HK are reading the current market as a dead cat bounce, which makes some of our strategies less reliable. Long term, we expect more recession, and so have tuned our systems to weather it.
We’re looking to push an improvement on our algo that will adapt faster to changing market conditions. We’re still backtesting solutions, but have one we’re ready to roll out in the meantime. Tomorrow’s recommendations will come with that change applied, so I’m more optimistic about them.
It’s difficult to call when to use algorithms and when not to - especially when a system takes some time to adapt. At this time, I’m not ready to say how to feel about today’s report. I feel better about tomorrow’s report, but even that’s tough to say. “Recent dead cat bounces” are a much smaller set of training & testing data than “recent everything”. Whatever you do, always be cautious and do your due diligence.
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. Good luck this week, everyone. I’d say to hope for some green, but honestly, our systems will probably do better if the market goes red. In any case, let’s all make some money this week.
-Asher
