Weekly Algorithm Review: 12/23/2023 to 12/29/2023
Performance Rankings
Long Term Portfolio: +0.47%
Base Algorithm: +0.4%
Market Neutral: +0.36%
Overall Market: +0.27%
Variable Market Neutral: +0.2%
Sector Neutral: +0.1%
Variable Sector Neutral: +0.05%
Overall, this wasn’t a substantial week. The algorithm under-performed by 7 bps (effectively in the red), while the long-term portfolio did well enough that we still beat the market by 13 bps. This is going to be a brief analysis; there’s not much to go into here.
The last week of the year was relatively consistent overall. The sectors that lost early on were still on the bottom come the end of the week. Things were surprisingly defensive - with Utilities and Consumer staples being near the top, with more speculative sectors like Tech and Consumer Discretionary under-performing the market.
On a by-ticker basis, results are mixed. The distribution is flatter overall, but the winners are flattened the slightest bit more than the losers. Overall, this is kind of a nothing week for the algorithm. There’s nothing to explain its under-performance, but with 7 bps, there’s no significant under-performance to explain.
What’s In The Pipeline?
Our experimental intra-day algorithm is cumulatively up 0.688% - a very slightly positive week for it. At this time, we’re looking to move things into an open beta. This wouldn’t be a full release just yet, but a continued beta test in our main server, so users can begin to utilize it. Should it continue performing well, and our users giving it good reviews, then it’ll be time for a full release, with it potentially becoming our main algorithm.
In addition to profitability, with a full release we’re also looking at user-friendliness. Are notifications coming too frequent, or are there not enough of them? Do the notifications lack some information that would be helpful to have, or are they too dense and need to be trimmed down? And most importantly - do the trades it takes look appealing to human traders? We can review performance all we want; if the trades it recommends just don’t look appealing, we might need to re-work things.
Be on the look out for it around the middle of this week!
Misc. Data For The Week
