05.19.22 | Auction Market Analysis

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Exhausted from Wednesday’s Selloff … Rotation

A trending market moves, pauses to consolidate, and then continues on until the trend is complete.


Today’s Market Profile indicates a single distribution and shows a high degree of rotation, with well-defined breakout points for a transition to trending.

Today’s rotation profile would suggest traders identified 3900-3910 as fairest value. An early warning of impending transition is indicated by an afternoon test of 3940.

11:30 PM

05.15.22 | Portfolio #1 (TAA Model) – Updated Backtest

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One of Only Two Algorithms from the Quantopian Era

Profile (circa 2015)

I was involved with the crowd-sourced hedge fund, Quantopian, from 2015-2016.   During that time, I tested and/or coded … over 1,000 algorithms.   Incredibly, I found only two algos that consistently outperformed.   This was one.   (The other was a sector rotation strategy.) 

Although the strategy defaults to a monthly rebalance, the algorithm recalculates allocations every other day, providing for a “more optimized” intervention.   I’ve found the algorithm easy to supervise and the volatility easy to live with.

While the S&P 500 is currently down 17%, this algorithm’s YTD return is currently positive 7.67%.