Exactly one month ago today, we went live with our first automated strategy. Through our partnership with BCM Partners, we have been granted this incredible opportunity to manage the capital of outside investors and start building a track record as an up-in-coming quant firm. Unfortunately, our timing with starting live couldn’t have been further from ideal.
In a month filled numerous with twists and turns resulting from the Russia-Ukraine conflict, our automated strategy was bound to be affected. Despite being down -1.43% during this first month, we have still been outperforming the S&P 500 by a substantial margin. Throughout this period, we have also been thinking critically about how markets behave during times filled with intense uncertainty, and here are a couple of the main takeaways we gathered:
Narratives mean everything to markets, and headline risk will shift them quicker than your system can react
Navigating regime changes is nearly impossible, and when they occur you should sit out of markets until conditions start stabilizing
For any trading system (systemized or discretionary) to be successful in the long run, incorporating a multi-faceted risk mitigation strategy is imperative to prevent account blowups: we have already implemented a max 2 loss/day threshold and are currently experimenting with scaling out of the trade
Like Pi, our work here at Squirl is a never-ending journey. The events of this past month have not dragged us down. In fact, they have motivated us to work harder towards achieving our goals of creating predictive models that stay one step ahead of market-moving events.