Weekly Algorithm Review: 12/17/2022 to 12/23/2022
Algorithm Performance This Week
Base Algorithm: +1.36%
Variable Market Neutral: +1.06%
Market Neutral: +1.04%
Long Term Portfolio: +1.0%
Variable Sector Neutral: +0.99%
Sector Neutral: +0.52%
Overall Market: +0.45%
This weekly review is going to be another short one. That’s a good thing; the reason for this is that our systems performed as we expected them to.
This is the first week in a while where the intraday market came up positive, which served as a useful test. In a bullish environment like this, we expect our base algorithm to be our top performer, with variable hedgers behind, and all full hedgers behind their respective variable hedgers. In general, we expect the long term portfolio to underperform the market on bullish weeks.
This week, our results not only met but exceeded all expectations. The long term portfolio outperformed the market by more than 0.5%, with our base algorithm beating that by another 0.35%. Even our market neutral system outperformed the long term portfolio - despite actively shorting a market that went upwards, in addition to its normal positions.
There’s very little to criticize or dive into here. Plain and simple, everything is working as intended, with several things having unexpectedly good performance.
I’ve been traveling most of this week, and as such, have no substantial updates on our in-progress projects. I hope everyone had happy holidays, and made some money on the week.
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