For more information, please read our brief Medium article: https://chicagoquantum.medium.com/oct-19-stock-selection-oil-gas-325d1542108d
This pick is an accomplishment for us. We ran data validation and our two-step analysis on current market data. This is the first time for us.
We do, however, have more work to do on the model. We need to understand the impact of recent model changes.
Model change 1: This iteration of the model uses a more sophisticated data validation process (to save time). It does make one 'shortcut' that we will evaluate. We had stocks without valid data on one day, and instead of dropping the full day from all stocks, we replace the value with a zero before we take the log price change.
Model change 2: This change was to replace the market indices with the market ETFs. This reduces the BETA of the stocks (tightens the range) as the ETFs trade in a tighter price range. We made this change only in Step 1, and will reflect it into Step 2. This allows individual investors to hold the indices as stocks instead of having to purchase options.
We also continue to tune our solvers to run the analysis in a reasonable amount of elapsed time. The longer we can run our algorithms, the better the potential for finding deeper local minima and 'better' answers. To this end, we may also bring out our server to increase the speed of the processing.
Jeffrey Cohen, October 20, 2020 (7:55am CDT).
I saw a post on LinkedIn today by James Caan (not the actor, the entrepreneur). He reminded me of a bit of advice from Ken Blanchard I received years ago in a training called Client Leadership Workshop at McKinsey & Company. "Don't take all the monkeys"
So, we must fight every day to prioritize our work, sharpen our focus, and align our teams to do one thing very well for clients.
We floated a draft mission statement on Twitter yesterday and received one comment / like. It is a start. Here it is for your review and comment: We formulate algorithms for quantum computers that create alpha. Our mission is to assist managers in climbing the sophistication curve to use quantum algorithms find alpha-creating opportunities.
Yesterday a potential client asked me to set up a trading account for our corporation and begin to institutionally trade stocks. We could start with paper trading. Get in the groove, learn the lingo, feel the buzz, and understand the setbacks. Figure out the challenges with implementing a strategy or algorithm. Backtest the recommendations. You cannot speak my language unless you trade.
Strong words and advice. Comments welcome. We have been working on the algorithms to ensure they run smoothly and give the best answers they can.
Over this past weekend we completed the next iteration of our quantitative algorithms to pick efficient stock portfolios (ones that zig and zag, lowering variance and creating opportunities to earn expected returns without as much volatility).
We have been following the stocks, during initially a flat to upward market, then in a decline. Fast action. Good chance to profit from fast moves. We saw this in 1 of our 2 earlier portfolios too.
As we learn the behavior of our portfolios, we will continue to tune and communicate.
If you want a chance to see the analysis before we share it publicly...a few days later, visit the Portfolio page and buy a portfolio. You can pick 60 stocks for us to analyze, going back a year.
If you want us to run the whole US market, or a big sector for you, buy an hour and let's discuss your ideas. We can run our algos for you, and communicate the results to you.
If you have something different in mind, and you want to increase the sophistication of your team, or just add an Alpha Horse to your stable...buy and hour and let's discuss that too.
No need to share your algorithms or IP...just your ideas and we can build it from scratch.
We think we have something here. We don't trade our own money so there is no conflict. We don't sell subscriptions or make money publishing, so no conflict there. We want to help you make money for your clients, or for yourself.
Call us, let's discuss your ideas, and convert them into a form that a quantum computer can understand and run for us.
Strategic IT Management Consultant with a strong interest in Quantum Computing. Consulting for 29 years and this looks as interesting as cloud computing was in 2010.