Weekly Algorithm Review: 06/03/2023 to 06/09/2023
Performance Rankings
Long Term Portfolio: +0.59%
Variable Sector Neutral: +0.58%
Variable Market Neutral: +0.54%
Base Algorithm: +0.53%
Sector Neutral: +0.37%
Market Neutral: +0.22%
Overall Market: +0.17%
During last week’s algorithm review, I called a 36 bps underperformance underwhelming. That in mind, you can imagine what I’m going to say about the 6 bps underperformance we see this week. I’m not unhappy with this performance, especially with the portfolio beating the market by a solid margin, but it’s worth noting that this makes consecutive weeks of the algorithm underperforming the long term portfolio. Again, I don’t think this is a sign of bad performance (looking at the last 3 weeks, the algorithm is up about 100 bps on the portfolio), but worth being aware of.
Despite the fairly minor results, this was still an interesting week. Day-by-day, we had some major shifts. On Tuesday, the algorithm outperformed by 50 bps. Then the next day, it underperformed by nearly 100, only to outperform by another 25 the following day. The main factor driving our near-neutral performance this week is a big dump by tech on Wednesday (the algorithm has leaned heavily into tech for the last few months).
From my research, there wasn’t a major news story that drove this sell-off, just a shift in market sentiments for the day. The market seems to be at an inflection point of sorts - deciding whether it wants to continue the bull run of the last few months. I’ve been talking with Vlad - our head investment analyst - and we’ve made the choice to switch back to our defensive portfolio.
What’s In The Pipeline?
My tentative project schedule is as follows:
Discord has begun rolling out its new username system. The market game bot identifies users by their username, rather than user ID number (for context, this was the first Discord bot I ever made - I’m not proud of this design choice). This means that, if you change your username, the bot will not list your score correctly. I’ll be taking measures to adjust our database to identify users by ID number instead. I want to be clear: if you have changed your username and are affected by this, continue playing the market game normally. Once the fix goes through, your score will be accurate - including answers submitted with your new and previous usernames.
After this, I’ll be resuming work on the options update for our grapher bot. This requires some pretty substantial reworking. Many of the options-based graphs take longer to create, meaning we’ll have to implement a queue system for the whole of the grapher bot to make this work smoothly.
Finally, I intend to run some experiments on the algorithm. The algorithm hasn’t been actively worked on in some time, due to more user-facing projects taking priority. Consequently, my backlog of ideas has grown rather large. At this time, I can’t say how long I will spend on this - it’s going to depend on which other side projects require attention. Regardless, the algorithm is the bread and butter of the HK Quant Department; I’d love to improve its performance any way I can.
Misc. Data For The Week
