Machine...not man Question for Green Alpha...does your algo have an adjustment mechanism for macro events such as Syria or Cyprus problems (a major default somewhere etc..) Or is the algo pure stats? thanks.
Hi, Richard, no it doesn't. We verified that most of the "humanly predictable" events (such as a possible event on Syria or a major default on any country) are usually already priced on market fundamentals. Some fundamentals, more usually than not, have some predictive power of what's the price movement ahead. That tends also to happen when some major macro numbers are released, that we're usually aligned with the surprises on those reports. What has been a drag lately (last 2-3 years), is policy makers talk, and FED officials talk, usually around half trading day we're being caught up on some complete reversals, but we're trying to work on that now (would necessarily imply some kind of dynamic stop profit/loss). Here are the results as of today (since March 20th): <table class="google-visualization-table-table" cellspacing="0" style="width: 260px; "><tbody><tr class="google-visualization-table-tr-head"><td class="google-visualization-table-th google-visualization-table-sorthdr"><span class="google-visualization-table-sortind"> </span></td><td class="google-visualization-table-th google-visualization-table-sorthdr">TGA<span class="google-visualization-table-sortind"> </span></td><td class="google-visualization-table-th google-visualization-table-sorthdr">S&P<span class="google-visualization-table-sortind"> </span></td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td">Cum Perf</td><td class="google-visualization-table-td google-visualization-table-td-number">10,5%</td><td class="google-visualization-table-td google-visualization-table-td-number">5,47%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Avg Perf</td><td class="google-visualization-table-td google-visualization-table-td-number">0,09%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,05%</td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td">Avg W</td><td class="google-visualization-table-td google-visualization-table-td-number">0,72%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,57%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Avg L</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,73%</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,65%</td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td"># W</td><td class="google-visualization-table-td google-visualization-table-td-number">65</td><td class="google-visualization-table-td google-visualization-table-td-number">66</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td"># L</td><td class="google-visualization-table-td google-visualization-table-td-number">50</td><td class="google-visualization-table-td google-visualization-table-td-number">49</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Max DD</td><td class="google-visualization-table-td google-visualization-table-td-number">-6,96%</td><td class="google-visualization-table-td google-visualization-table-td-number">-5,76%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Curr DD</td><td class="google-visualization-table-td google-visualization-table-td-number">-6,24%</td><td class="google-visualization-table-td google-visualization-table-td-number">-4,49%</td></tr></tbody></table>
Todayâs result: +1.00% For tomorrow weâre long on the S&P500. Here are the results as of today (since March 20th): <table class="google-visualization-table-table" cellspacing="0" style="width: 260px; "><tbody><tr class="google-visualization-table-tr-head"><td class="google-visualization-table-th google-visualization-table-sorthdr"><span class="google-visualization-table-sortind"> </span></td><td class="google-visualization-table-th google-visualization-table-sorthdr">TGA<span class="google-visualization-table-sortind"> </span></td><td class="google-visualization-table-th google-visualization-table-sorthdr">S&P<span class="google-visualization-table-sortind"> </span></td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td">Cum Perf</td><td class="google-visualization-table-td google-visualization-table-td-number">13,12%</td><td class="google-visualization-table-td google-visualization-table-td-number">7,97%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Avg Perf</td><td class="google-visualization-table-td google-visualization-table-td-number">0,11%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,07%</td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td">Avg W</td><td class="google-visualization-table-td google-visualization-table-td-number">0,71%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,56%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Avg L</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,73%</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,65%</td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td"># W</td><td class="google-visualization-table-td google-visualization-table-td-number">70</td><td class="google-visualization-table-td google-visualization-table-td-number">71</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td"># L</td><td class="google-visualization-table-td google-visualization-table-td-number">50</td><td class="google-visualization-table-td google-visualization-table-td-number">49</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Max DD</td><td class="google-visualization-table-td google-visualization-table-td-number">-6,96%</td><td class="google-visualization-table-td google-visualization-table-td-number">-5,76%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Curr DD</td><td class="google-visualization-table-td google-visualization-table-td-number">-4,02%</td><td class="google-visualization-table-td google-visualization-table-td-number">-2,22%</td></tr></tbody></table>