Weekly Algorithm Review: 05/06/2023 to 05/12/2023

Performance Rankings

1. Sector Neutral: +0.33%

2. Variable Sector Neutral: +0.07%

3. Market Neutral: +0.06%

4. Variable Market Neutral: -0.36%

5. Base Algo: -0.65%

6. Overall Market: -0.75%

7. Long Term Portfolio: -0.81%

There’s not much to discuss here. While the market moved plenty intra-day, on a BAOSAC basis, most days this week saw little movement. On 3 of the 5 trading days this week, the market moved 5 bps or less between open and close. With this in mind, I’m not surprised our long term portfolio slightly underperformed - that could have come down to variance alone.

Technical analysis was a slight positive, and enough to push us to an overall win over the markets this week. Hedgers fell roughly where we expect - significantly above our base algorithm, due to the market itself being down, with variable hedgers safely in between. All in all, this was a slow week for any BAOSAC strategy, but a successful one for us.

What’s In The Pipeline?

Last week, I mentioned an update to the grapher bot to include options data. This is being put on hold to update the interfaces of our bots. We need to do this first because selecting an option is more complicated than just selecting a stock ticker. For stock tickers, all we need to do is have you type it into the bot. To choose options, we need a choice of either expiration or strike price, and then a choice of the other based on what’s available. A text only interface simply isn’t sufficient - so we’re prioritizing new interfaces for everything.

This week, we intend to roll out a revamped market game. A revamped grapher bot will follow late this week, or early next, with the options update to follow.

In the next few days, we intend to take the market game bot from this:

To this:

Stay tuned! It’ll be accompanied by some other QOL updates to the game.

Misc. Data For The Week