Home — Services — Contact — Blog

Algo Recap 2020–2021

The other day I asked myself three questions — why I stopped writing blog posts, what to write about, and why I haven't published algo results for a year and a half. Time to fix that and share the trading results on the stock market (hereinafter SM).

Note:

  1. Discrepancies between tests and actual results are possible; that's normal.

  2. This post was written in early January 2022 and I wanted to spice it up with an interesting article on seasonality by Perry Kaufman. However, at first my calculations didn't add up, and then the events we all know happened and I lost interest. So this post is more like a note than a full-fledged article.

The best performing sector at the end of 2021 was "Chemicals and Oil & Gas" (MOEXCH). The volume leaders in this sector are Akron and PhosAgro.

images-21.png

As I mentioned in my previous post Investment Approach, the main characteristics I aimed for when developing the algorithm were reducing drawdown relative to the benchmark (in our case, the IMOEX index). Based on this, I achieved a risk-reward ratio of 1:1, which is several times better than the index. You'll agree, buying an index with a CAGR of 16.97% (data as of December 2021) and a maximum drawdown of 74.97% (2008) is not the most profitable decision, although it's safer than speculation for quick gains.

Of course, some HFT developer, venture investor, or another crypto-millionaire might say my metrics are crap, but

images-3.jpg

I am convinced — and the background of portfolio managers confirms this — that virtually no private portfolio manager can beat a 1:1 risk-reward ratio over a long distance of more than 7 years. Even the largest investment and hedge funds like Citadel, BlackRock, Renaissance Technologies struggle with this task. Don't forget, to achieve this result they have to "vacuum up" the best talent, implement cutting-edge technologies, and build giant data centers.

Last time I wrote about interim results for 2020, the dynamics remained, but here's the curve for 2020-2021:

images-18.png

And if we compare with the IMOEX index

images-15.png images-19.png

And this is what the equity curve from tests looks like; there are discrepancies but not significant, and the tests don't account for bond coupons and dividends. (Drawdown chart below)

images-20.png

The most profitable and beautiful trade.

images-33.png

udp: The events of 02/24/2022 caught me in defensive sectors — Metals and Mining (MOEXMM) and Chemicals and Oil & Gas (MOEXCH), specifically I held Akron and Polyus as flagships at 10% of the portfolio; Polyus had to be sold mid-session, the rest in cash.

Since the escalation of the conflict began in October 2021, the IMOEX index lost 42.45%, while my portfolio dropped 14.3% over the same period. Waiting for the Moscow Exchange to open...