Algo Recap 2019

Summarizing the algo-trading results for 2019 across two portfolios - FORTS and IMOEX. I'll compile a chronology of events and share my thoughts and forecasts about the financial markets in the coming year.

Algo-portfolio forts

The year was extraordinary. Let me reconstruct the chronology of key events:

• Beginning of the year - nine strategies in the portfolio. Three each on RTS, SBRF and SI
• By the end of April, overall result from the start of the year was +27.4%
• During the first half of the year, drawdown twice approached the maximum, but each time a rebound followed. The third time in August, the drawdown updated the historical minimum, I turned off six strategies.
• I quickly rebuilt the portfolio from scratch. I abandoned overly adaptive strategies and modified the method for testing strategy effectiveness. From that moment to the present day, the portfolio has four strategies — one for RTS, two for SBRF, and one for SI, which I modified over the course of the year.
• In the end, strategies for SBRF performed the worst, RTS had the best result, SI had sssslooow growth.
• A drawdown of -30.5% lasted seven months from May to November. Year result -3.2%, current drawdown from the maximum -24%

It was a tough year for the futures algo portfolio. Volatility is low and I don't know how long this will last. Fellow algo traders are in a similar situation. For my algorithms, the year was the worst since 2012. 2018 was the best since 2014.

Algo-portfolio imoex

IMOEX Index

With this portfolio everything is much simpler. The principle is straightforward — we trade one algorithm on 15-20 liquid stocks. The key element here is stock selection. We pick a couple of trending stocks from sector indices and trade them, rebalancing once a year.

IMOEX: Result +28.5%; Max drawdown -8.5%.
Portfolio: Result +19.9%; Max drawdown -4.9%.

The most profitable stocks this year were MTS, Rosseti, Polyus. Year's underperformers: InterRAO, Akron, Aeroflot

As I wrote before, lagging behind the benchmark is inevitable if you aim for a drawdown many times smaller. Overall I'm satisfied with the result given the current inflation of 2.68% and a rate of 6.25%. I don't know how long the stock market rally will last. On one hand, there are clear signs of a bubble; on the other hand, the population has trillions of rubles in bank deposits that, in search of better returns, will inevitably come to the financial market. I expect the growth will last a year or two, then the situation will become clearer.