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Public Backtests (5)

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Ugly Yellow Hyena

0.158Net Profit

40.25PSR

0.304Sharpe Ratio

0.061Alpha

-0.058Beta

1.765CAR

2Drawdown

-0.09Loss Rate

39Parameters

0Security Types

0.694Sortino Ratio

0Tradeable Dates

108Trades

-0.233Treynor Ratio

0.27Win Rate

Calm Orange Viper

8.08Net Profit

99.707PSR

13.382Sharpe Ratio

0.357Alpha

1.088Beta

168.948CAR

2.4Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

21Tradeable Dates

1Trades

1.223Treynor Ratio

0Win Rate

Determined Fluorescent Yellow Pig

4.987Net Profit

95.052PSR

8.742Sharpe Ratio

-0.094Alpha

1.366Beta

111.817CAR

3.4Drawdown

0Loss Rate

3Parameters

1Security Types

0Sortino Ratio

18Tradeable Dates

2Trades

0.812Treynor Ratio

0Win Rate

Square Green Chinchilla

111.737Net Profit

96.366PSR

3.007Sharpe Ratio

0.341Alpha

0.372Beta

50.642CAR

9.4Drawdown

0Loss Rate

15Parameters

0Security Types

3.112Sortino Ratio

462Tradeable Dates

9Trades

1.426Treynor Ratio

18.08Win Rate

Calculating Sky Blue Mule

-8.158Net Profit

0PSR

-3.203Sharpe Ratio

-1.029Alpha

-0.137Beta

-95.522CAR

8.4Drawdown

0Loss Rate

0Parameters

0Security Types

-2.844Sortino Ratio

5Tradeable Dates

2Trades

6.783Treynor Ratio

0Win Rate


Community

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Abco left a comment in the discussion Hedging Equities with Options in a Dynamic Universe

For completeness and clarity also below line was changed to fix all issues with the original code...

2 years ago

Abco left a comment in the discussion Hedging Equities with Options in a Dynamic Universe

Above problem is solved via a support ticket I raised. And solution is as below.

2 years ago

Abco left a comment in the discussion Hedging Equities with Options in a Dynamic Universe

I'd like to re-use parts of the code provided by Derek Melchin  on July 2020 above. But it gives...

2 years ago

Abco left a comment in the discussion Def EveryDayAfterMarketOpen(self, symbol)

I have checked solution confirmed by Varad now in live and what happens is that it works, but after...

2 years ago

Abco left a comment in the discussion Def EveryDayAfterMarketOpen(self, symbol)

Hi Louis,

2 years ago

Ugly Yellow Hyena

0.158Net Profit

40.25PSR

0.304Sharpe Ratio

0.061Alpha

-0.058Beta

1.765CAR

2Drawdown

-0.09Loss Rate

39Parameters

0Security Types

0.694Sortino Ratio

0Tradeable Dates

108Trades

-0.233Treynor Ratio

0.27Win Rate

Calm Orange Viper

8.08Net Profit

99.707PSR

13.382Sharpe Ratio

0.357Alpha

1.088Beta

168.948CAR

2.4Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

21Tradeable Dates

1Trades

1.223Treynor Ratio

0Win Rate

Determined Fluorescent Yellow Pig

4.987Net Profit

95.052PSR

8.742Sharpe Ratio

-0.094Alpha

1.366Beta

111.817CAR

3.4Drawdown

0Loss Rate

3Parameters

1Security Types

0Sortino Ratio

18Tradeable Dates

2Trades

0.812Treynor Ratio

0Win Rate

Square Green Chinchilla

111.737Net Profit

96.366PSR

3.007Sharpe Ratio

0.341Alpha

0.372Beta

50.642CAR

9.4Drawdown

0Loss Rate

15Parameters

0Security Types

3.112Sortino Ratio

462Tradeable Dates

9Trades

1.426Treynor Ratio

18.08Win Rate

Calculating Sky Blue Mule

-8.158Net Profit

0PSR

-3.203Sharpe Ratio

-1.029Alpha

-0.137Beta

-95.522CAR

8.4Drawdown

0Loss Rate

0Parameters

0Security Types

-2.844Sortino Ratio

5Tradeable Dates

2Trades

6.783Treynor Ratio

0Win Rate

Abco left a comment in the discussion Hedging Equities with Options in a Dynamic Universe

For completeness and clarity also below line was changed to fix all issues with the original code...

2 years ago

Abco left a comment in the discussion Hedging Equities with Options in a Dynamic Universe

Above problem is solved via a support ticket I raised. And solution is as below.

2 years ago

Abco left a comment in the discussion Hedging Equities with Options in a Dynamic Universe

I'd like to re-use parts of the code provided by Derek Melchin  on July 2020 above. But it gives...

2 years ago

Abco left a comment in the discussion Def EveryDayAfterMarketOpen(self, symbol)

I have checked solution confirmed by Varad now in live and what happens is that it works, but after...

2 years ago

Abco left a comment in the discussion Def EveryDayAfterMarketOpen(self, symbol)

Hi Louis,

2 years ago

Abco started the discussion How to annualize SymbolData indicators?

I am trying to annualize standarddeviation and simplemovingaverage in class SymbolData. But sofar I...

3 years ago

Abco started the discussion Def EveryDayAfterMarketOpen(self, symbol)

Is it possible to create a function like EveryDayAfterMarketOpen(self, symbol), which works similar...

3 years ago

Abco left a comment in the discussion Can't start backtesting for any of my algos

I have sent a message to support@quantconnect.com

3 years ago