Highlighted Trades: 02/13/2024

We have something unique today: both our best and worst trade were on the same ticker, and in the same direction. We lost 2.00%, and then made back 1.84% later. Similar to our last few worst trades of the day, I think the losing trade here was fairly avoidable. The large move right after open makes this signal pretty clearly a fake-out to human eyes. Given that this system is designed to be cherry-picked, if you were watching the algorithm, you probably avoided this trade entirely, or at least under-allocated into it.

The winning trade from later in the day is more complicated, but much more appealing as an opportunity. The technicals are very standard, and the move to our target exit (which was almost exactly the low of day from that point onward) was smooth and consistent. All in all, if you were actively trading with the algorithm today, you probably made a profit on ZBRA.

I’d also like to take a moment to discuss our second worst trade of the day, a short on IQV - because I feel this also illustrates a pretty clear fake-out. It ended the opening 30 minutes pretty close to where it started them, but the one big candle on opening throws our technical analysis off. I know I said we would look into a plan B algorithm, as opposed to new revisions of this system, but these last few days really suggest a new rule we can add to improve performance: “If recent volatility (especially during open) is too high, do not trade”. We’ll be doing some back tests on this to determine if/how we want to introduce it.

I’ll note here that this is a surprisingly complex rule to implement. The hard part is going to be deciding exactly where to draw the line, hence the need for several back tests.

Today was a comparatively quiet day for longs - of the 54 trades we took today, 46 of them were shorts. So far, the most profitable one we’ve had is this one on AIG we took a few minutes before close. It’s only up 0.15% so far, which should show just how little progress the algorithm made by long trading today.

Just to further emphasis this, our top 18 trades today were all shorts.

That’s all I have for you tonight. Thanks for reading - and happy trading!