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Hi guys thought Id post this here see if anyone can port it from Quantopian, Was able to get the strategy to about 200% annual returns and 20% DD, or 100% annual and 10% DD. Looks like a very good strategy, and in quantopians backtests survived all the crazy vix stuff.
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Dennis Meinecke
Jack Pizza
Try this sorry:
Jack Pizza
Yeah code snippet makes the thread to long, the above should work now though.
Jack Pizza
About 8000% Annual and 25% DD with XIV lol, would of actually survived the day of the blow up as it bought in the morning and sold around 1PM.
Jack Pizza
Also curious to back test it here, in Quantopian Stop Orders seem to not fill 100% which is weird given it's supposed to turn into a Market Order once the Stop Price is hit.
Jack Pizza
Stops were fine they were just not being filled because price never hit them.
Huy Hoang
This does not reflect the long term performance of U.S. Equities as it only backtested after the crisis has recovered and prices went up strongly. It needs to be backtested including 2007-2008.
When trying to backtest it on Quantopian, I got this error:
Exception: inputs are all NaN There was a runtime error on line 565.which refers to this line in the script
rsi_signal, rsi7_actual, rsi2_actual = checkRSI(context, data)Jack Pizza
Hi Huy Hoang ,
Supposedly according to the author he backtested it than and it performed fine, lastly majority of the gains come from VIX ETFs, only thing I can see is DD being higher in 08 potentially.
What date are you trying to backtest? It's probably because you are going to far back where there is no data, because i can backtest fine.
Jack Pizza
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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