Weekly Algorithm Review: 06/17/2023 to 06/23/2023
Performance Rankings
Base Algorithm: +1.02%
Variable Market Neutral: +0.93%
Market Neutral: +0.68%
Sector Neutral: +0.61%
Overall Market: +0.33%
Variable Sector Neutral: +0.24%
Long Term Portfolio: -0.65%
This week marks another win for us, with an incredible 167 bps outperformance by our algorithm. Much of this is attributable to the usual suspects (NVDA & META), but even without those 2, we would have outperformed by about 100 bps.
Aside from a few outstanding tickers, this outperformance can be attributed our choice of sectors. The algorithm primarily under-allocated into Utilities and Consumer Staples, with these being the worst performing sectors of the week. In this way, the algorithm shored up our long term portfolio’s main weakness here.
Once again, the analysis portion of this review is going to have to be short. There isn’t much worth diving into this week - everything worked as intended. Variable Sector Neutral had an unusual placement, but as we’ve seen, this particularly system has a relatively high variance. Given that it fell exactly where we expected in our quarterly algorithm review, I’d expect it to level out in the long-term.
What’s In The Pipeline?
We’re launching a major update to TradeBot this week. Unless we find some major new problems, expect this to rollout Monday afternoon!
I have some experiments I’d like to run on the algorithm. I don’t have a clear timeline on these, but we’ll announce it if we’re putting an update into production. As a warmup, I have some ideas for proprietary intraday indicators. I’ll be discussing these with the team early this week. From here on out, my focus is primarily not going to be user-facing, but if these indicators yield interesting results, we might have some new stuff for you - stay tuned!
Misc. Data For The Week
