Weekly Algorithm Review: 12/30/2023 to 01/05/2024
Performance Rankings
Market Neutral: +0.60%
Sector Neutral: +0.45%
Variable Market Neutral: +0.31%
Variable Sector Neutral: +0.19%
Base Algorithm: +0.10%
Long Term Portfolio: +0.03%
Overall Market: -0.37%
Our first week of the new year was, all things considered, pretty solid. The algorithm was mostly in the black, out-performing the portfolio by only 7 bps, but our portfolio out-performed the market by 40 bps. Together, these mean that overall we beat the market by 47 bps. That’s not massive, but every win is a good win - especially when it takes us from losing money to turning a profit.
I want to give an extra shout out to our portfolio here for not only beating the S&P 500, but also the equal-weighted ETF we consider it comparable to. A very solid week for fundamental analysis!
Quick note here: we’re looking at our second consecutive week of the algorithm performing mostly in the black. The analysis section of this report will likely look similar to last week’s analysis section.
As we’ve seen more often lately, sector-based allocations have been largely consistent. Aside from a few extra points or a few taken away, the algorithm is weighting its sectors in largely the same way the portfolio is. In general, this week was better for defensive sectors. Technologies and Consumer Discretionary fell near the bottom.
We briefly considered switching to a defensive portfolio, after close on Tuesday. The long term portfolio that we currently have in use isn’t the only one we watch internally. And our main defensive alternative was up nearly 2% over the market that day. Our Head Investment Analyst - Vlad - has made the call to stick with our current beta-1 portfolio for the time being, but it’s likely that we’ll be re-balancing it in the near future.
Returns by ticker are roughly what we expect. Distributions are flatter overall, but there isn’t any significant gain here. Our biggest allocations this week were LNG and ARE, receiving 30.18% and 20.44% in total allocations over 4 days. Even though LNG turned out to be a loser, our allocation in ARE performed well enough to make up for it.
What’s In The Pipeline?
We launched our new Day Trade Bot into an open beta this week! All of our subscribers will be able to access it in the Exclusive Room of our Discord. Since its launch Wednesday afternoon, it’s down a little under 20 bps. Not ideal for a launch, but it’s only been on for about 2 days so this is safely within expectations. Even our most optimistic back-tests haven’t been profitable every day, or even every week. We’d like to run this for at least a month or two before making any final decisions on it, so keep an eye on things!
This week, we’ll be pushing some QOL improvements to it. The first of these should be cleared for production by Monday at open. Currently, notifications go to 2 channels: The Exclusive Room, and Algorithm Trading Alerts. A few times during the day, many ticker will give the algorithm a buy/sell signal simultaneously, leading to many notifications being sent at the same time. This isn’t a problem for the Trading Alerts Room - it isn’t used for anything else, but if people are trying to have a conversation in Exclusive, that can be an issue.
Case in point - all of these entry messages were published within seconds of each other.
In response, we’re slightly reworking how notifications are sent in Exclusive. If 3 or fewer notifications come out simultaneously, we’ll continue sending them as normal. But if more than 3 come in the same block, we’ll only send out 1 notification to exclusive, just noting that 3 alerts have dropped. Then if users are interested, they’ll be viewable in the Algorithm Trading Alerts Channel.
Right now, optimizing for a strong user experience is our main priority. If you have anything you like about the Beta Day Trade Bot, or anything you don’t, by all means let us know! Our users always come first here at HK.
Misc. Data For The Week
