Process updates

26th Mar, 2018

TRADING ALGORITHM CHANGE

 

Identifying improvements to existing algorithms is a key component of how SMTP operates.  With that in mind, both trading algorithms used since 2017 have been changed.  A relatively minor addition to Algorithm A has been made, giving Alg A-rev 1.  The best performing algorithm since SMTP was restarted in April 2016 is Algorithm D, which has now replaced Algorithm B.  All trades will now be placed using the new algos.

 

Both the new and old will be reported on the Current Performance graph.  Both new algos are clearly outperforming their predecessors.  More high performing algos are being identified all the time - Alg K was started in Sept 2017 and is currently +48%.  It has a large drawdown, so is not ready for implementation yet.  Further variations on K are ongoing to reduce the drawdown without seriously impacting performance.

​

 
2nd August, 2017

TRADING ALGORITHM CHANGE

 

Disappointingly, Algorithm C has badly underperformed since its' activation on 10 January.  A modified Algorithm B has now been activated for trading using the 1778 account on Interactive Brokers, having demonstrated >6% gain in testing from May-July 2017.

 
 
Mar-Jun, 2017

NEW PC, ADDITIONAL SMTP FILES, SMTP 3.0

 

A new PC (Dell XPS 8910) was purchased in March, giving faster execution of existing Excel files and the ability to add new ones.  The old PC (Precision 390) is now used to process further files for evaluation, bringing the total capability to 1160 algorithms under test.  Also, a re-vamp of the SMTP Excel file (version 2.2 to 3.0) gives more factors for analysis and greater flexibility in algorithm design.

 
 
10th Jan, 2017

TRADING ALGORITHM CHANGE

 

Due to underperformance of Algorithm B, Algorithm C has been activated for trading using the 1778 account on Interactive Brokers.  It demonstrated >32% gain from April-December 2016.

 
 
9 Nov, 2016

US Presidential Election

​

The pre-market reaction to the election of Donald Trump was an overnight sell-off in the futures.  When the NYSE and Nasdaq opened, tech and medical services plunged but biotech, drug, financials and industrial metals all surged. This rotation caused Algorithm A to sell 4 tech stocks within 1/2 hour of open, and buy AA (ind metals), resulting in a net flat performance for the day.  

 

Algorithm A continues to outperform the S&P 500 by 9% since this evaluation re-started in April.  Algorithm B is underperforming and will be replaced shortly.

 

AlgAAlgBGraph-1