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Public Backtests (6)

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limit

6.616Net Profit

2.087PSR

0.155Sharpe Ratio

0.002Alpha

0.157Beta

1.614CAR

32.2Drawdown

-1.25Loss Rate

17Parameters

0Security Types

0.142Sortino Ratio

0Tradeable Dates

335Trades

0.114Treynor Ratio

2.35Win Rate

just O

21.77Net Profit

6.047PSR

0.363Sharpe Ratio

0.025Alpha

0.16Beta

5.045CAR

25.9Drawdown

-1.2Loss Rate

8Parameters

0Security Types

0.496Sortino Ratio

0Tradeable Dates

283Trades

0.258Treynor Ratio

2.28Win Rate

all and O

23.321Net Profit

6.566PSR

0.38Sharpe Ratio

0.026Alpha

0.171Beta

5.378CAR

24.9Drawdown

-1.18Loss Rate

8Parameters

0Security Types

0.521Sortino Ratio

0Tradeable Dates

287Trades

0.255Treynor Ratio

2.3Win Rate

tmf only

172.742Net Profit

18.164PSR

0.767Sharpe Ratio

0.12Alpha

-0.044Beta

15.274CAR

19.3Drawdown

36Loss Rate

8Parameters

1Security Types

0.2466Sortino Ratio

1776Tradeable Dates

248Trades

-2.629Treynor Ratio

64Win Rate

baseline

32.501Net Profit

16.575PSR

0.718Sharpe Ratio

0.03Alpha

-0.011Beta

4.069CAR

5.2Drawdown

-0.22Loss Rate

8Parameters

1Security Types

0.432Sortino Ratio

1776Tradeable Dates

992Trades

-2.518Treynor Ratio

0.24Win Rate


Community

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AK started the discussion Same code, different backtest results

Hello all,

2 years ago

AK started the discussion Different backtest results when adding securities to universe, even if they're not traded

Hello all,

2 years ago

AK started the discussion Scaling position size by buying power - strategies?

Hello all, 

2 years ago

AK started the discussion Too many errors live trading with Interactive Brokers

Hey all,

2 years ago

AK started the discussion Limit orders filling at different price even when limit is above market price

Hello all,

2 years ago

limit

6.616Net Profit

2.087PSR

0.155Sharpe Ratio

0.002Alpha

0.157Beta

1.614CAR

32.2Drawdown

-1.25Loss Rate

17Parameters

0Security Types

0.142Sortino Ratio

0Tradeable Dates

335Trades

0.114Treynor Ratio

2.35Win Rate

just O

21.77Net Profit

6.047PSR

0.363Sharpe Ratio

0.025Alpha

0.16Beta

5.045CAR

25.9Drawdown

-1.2Loss Rate

8Parameters

0Security Types

0.496Sortino Ratio

0Tradeable Dates

283Trades

0.258Treynor Ratio

2.28Win Rate

all and O

23.321Net Profit

6.566PSR

0.38Sharpe Ratio

0.026Alpha

0.171Beta

5.378CAR

24.9Drawdown

-1.18Loss Rate

8Parameters

0Security Types

0.521Sortino Ratio

0Tradeable Dates

287Trades

0.255Treynor Ratio

2.3Win Rate

tmf only

172.742Net Profit

18.164PSR

0.767Sharpe Ratio

0.12Alpha

-0.044Beta

15.274CAR

19.3Drawdown

36Loss Rate

8Parameters

1Security Types

0.2466Sortino Ratio

1776Tradeable Dates

248Trades

-2.629Treynor Ratio

64Win Rate

baseline

32.501Net Profit

16.575PSR

0.718Sharpe Ratio

0.03Alpha

-0.011Beta

4.069CAR

5.2Drawdown

-0.22Loss Rate

8Parameters

1Security Types

0.432Sortino Ratio

1776Tradeable Dates

992Trades

-2.518Treynor Ratio

0.24Win Rate

Well Dressed Green Butterfly

-2.736Net Profit

0.032PSR

-5.145Sharpe Ratio

-0.213Alpha

0.255Beta

-42.647CAR

3.3Drawdown

71Loss Rate

4Parameters

1Security Types

-0.1222Sortino Ratio

12Tradeable Dates

424Trades

-1.258Treynor Ratio

29Win Rate

AK started the discussion Same code, different backtest results

Hello all,

2 years ago

AK started the discussion Different backtest results when adding securities to universe, even if they're not traded

Hello all,

2 years ago

AK started the discussion Scaling position size by buying power - strategies?

Hello all, 

2 years ago

AK started the discussion Too many errors live trading with Interactive Brokers

Hey all,

2 years ago

AK started the discussion Limit orders filling at different price even when limit is above market price

Hello all,

2 years ago

AK left a comment in the discussion Interactive broker one session problem

On the settings page (top right under the person icon) under User & Access Rights, you can...

2 years ago

AK left a comment in the discussion Limit orders filling at different price even when limit is above market price

I looked into this more. Great note on the limit order management edge case but the behavior for...

2 years ago

AK left a comment in the discussion Limit orders filling at different price even when limit is above market price

Thanks for getting back to me Fred.

2 years ago

AK left a comment in the discussion Too many errors live trading with Interactive Brokers

Sure, I'll cut a ticket on Monday.

2 years ago

AK left a comment in the discussion Alpha Streams Refactoring 2.0

Yeah tough decision, but makes sense given the data. 

2 years ago

AK left a comment in the discussion What is the best way to connect one trading account to multiple algorithms

Hey Nevo, what Fred said is true. 

2 years ago

AK started the discussion Filtering non-optionable securities in universe selection

I'm trying to limit my universe to securites which have options. Right now, I'm doing this:

3 years ago

AK started the discussion Blending multiple algorithms

Hello, 

3 years ago

AK started the discussion How to prevent margin calls from insufficient buying power?

I keep getting margin called in my algorithm because of insufficient buying power. I've printed the...

4 years ago

AK started the discussion Issues exiting positions after securites removed from universe

I have securities that are removed from my universe that I'm trying to exit, but I'm unable to do...

4 years ago