This algo:
has metrics: from 1990-2017: sharpe 13, performance 66%.
I assume it uses futures, correlation, ML.
There are dozens of algos with similar perfromance, from different authors. So the aproach must be pretty obvious.
There is another one that uses stocks, wich sharpe 5.7, performance 220%:
Bonds: sharpe 4.5, performance (only :) 16%.
Any ideas?
Jared Broad
be some good ones. This can be intensified with futures which offer greater
leverage.
Also I wouldn't assume they are complex or even realistic strategies. Most
people make very simple algorithms
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Michael Manus
hmm nice backtests you found there.
if we all would know what this is it may wouldnt work anymore.
but if it is that good do you think he would post that and not invest with his own money and buy cuba or aruba in few years?
i dont know.
you could create an account there and ask that guy if he sells this algo.
see it like an investment. you take 1000 usd and maybe it is yours and you make your money back :)
Valery T
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