Highlighted Trades - 05/13/2024

I’d like to begin today’s algorithm review with an unfortunate announcement. We are going to be discontinuing public algorithm notifications for the time being. We’re doing this partly in light of poor recent performance, and partly because we want to go higher beta on our system.

We’re going to use this time to perform more rigorous testing on our algorithm, and see why live performance is inferior to our back test results. Additionally, we want to take our system from 0 market beta, to a positive beta. For many of our users, our algorithm competes with either trading the market, or other strategies with positive market betas. As such, we don’t think it makes sense to target a low beta at this time. In addition to investigating performance issues, we’ll be experimenting with taking our system positive market beta.

During this period, we’re also looking to elevate our long term portfolio, and then re-introduce it as a main user-facing component. We’ve continued publishing it, but only in our weekly algorithm reviews. We’re looking to do some more advanced quantitative risk management on it, and then re-introduce it with more emphasis, as our main investment strategy.

We intend to relaunch at the beginning of next month. We don’t know exactly what our re-launch is going to look like at this time - whether it’ll include a primary trading algorithm, or focus solely on our portfolio. We’ll give more updates as we develop them.

I’d like to apologize for the delay here. I hope that, by June, we’ll have something for all of you we can really be proud of.

Now, for the last time for a while, let’s go over the day’s trades. We made 10 trades today (1 long, 9 short) across 5 unique tickers.

Our big winner today was OXY, where we made 0.62% across 3 short entries. Our first entry actually performed negatively, losing us 0.11%, before our re-entries carried this trade to a success. In a lot of ways, our first re-entry is pretty questionable. The momentum isn’t great going into it, and given the short time after our first stop-out, it shows a red flag for being a fake-out play. Regardless, this one turned out to be a beauty. Our second re-entry didn’t make as much, but given the big red candle it activates on, I think it’s a much safer play.

Our loser of the day was SBUX, costing us 0.26% across 4 short entries. Interestingly, these weren’t all losers. Our second entry made us 0.10% here. I like the conditions of our first two entries here significantly more than our second two for one reason: momentum. Early in the day, SBUX has a large amount of directional momentum, making for some strong conditions to use TK-cross trading (at least on paper). By the time we hit around 1 PM EST, that momentum is mostly gone, with the stock going visibly sideways. If you’d avoided the last 2 entries, you would have cut your losses to 0.13% here.

The last trade I want to discuss tonight is this long position on ACN. We ended up mostly in the black here (-0.02%), but I think our entry is overall pretty strong. The momentum is great, MACD is strong and growing, lagging line cooperative, and the cross is fairly strong. The loss is unfortunate, but I don’t think this one was avoidable. We mostly got unlucky here. No matter how good conditions look, some trades just don’t work out.

As always, thank you for reading. I will be back with updates on our in-progress projects. Happy trading!