Bradley Crossen
Quant
Date Joined
24th April, 2017
Bootcamp progress
0% Complete
Achievements
Backtester
Run at least 100 backtests on QuantConnect's cloud.
2018-08-12 20:02:47
Cloner
Clone at least 100 algorithms from the community.
2020-05-31 15:59:06
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Biography
Activity on QuantConnect
We are pioneering the radical future for open-source quant finance. QuantConnect is the world's largest quant community, empowering 220,000 quants with a framework, data, and infrastructure for their investments.
Public Backtests (2)
View More2.957Net Profit
2.94Sharpe Ratio
0.092Alpha
-0.012Beta
12.202CAR
1.7Drawdown
25Loss Rate
1Security Types
0Sortino Ratio
61Tradeable Dates
10Trades
-7.846Treynor Ratio
75Win Rate
-0.048Net Profit
-0.067Sharpe Ratio
-0.005Alpha
-0.071Beta
-0.288CAR
1.2Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
40Tradeable Dates
5Trades
0.029Treynor Ratio
100Win Rate
Community
View MoreBradley started the discussion What streaming data feeds are used for live US equity trading with IB through Quantconnect.com?
What streaming data feeds are used for live US equity trading with IB through Quantconnect.com? Is...
Bradley started the discussion Multiple Consolidators
How do you get TradeBars for multiple equities on one consolidator? I have attached a project below...
Bradley started the discussion SetFilter does not correctly choose the ATM strike price
The SetFilter funciton does not correctly choose the ATM strike price, making it difficult to...
Bradley started the discussion Incorrect implied volatility and delta for some security options pre-2017?
I have noticed some weird errors for implied volatility and delta on some securities pre-2017. For...
2.957Net Profit
2.94Sharpe Ratio
0.092Alpha
-0.012Beta
12.202CAR
1.7Drawdown
25Loss Rate
1Security Types
0Sortino Ratio
61Tradeable Dates
10Trades
-7.846Treynor Ratio
75Win Rate
-0.048Net Profit
-0.067Sharpe Ratio
-0.005Alpha
-0.071Beta
-0.288CAR
1.2Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
40Tradeable Dates
5Trades
0.029Treynor Ratio
100Win Rate
Bradley started the discussion What streaming data feeds are used for live US equity trading with IB through Quantconnect.com?
What streaming data feeds are used for live US equity trading with IB through Quantconnect.com? Is...
Bradley started the discussion Multiple Consolidators
How do you get TradeBars for multiple equities on one consolidator? I have attached a project below...
Bradley started the discussion SetFilter does not correctly choose the ATM strike price
The SetFilter funciton does not correctly choose the ATM strike price, making it difficult to...
Bradley started the discussion Incorrect implied volatility and delta for some security options pre-2017?
I have noticed some weird errors for implied volatility and delta on some securities pre-2017. For...
Bradley left a comment in the discussion Incorrect implied volatility and delta for some security options pre-2017?
Here is the log output from the first 3 months of 2015 (SPY):
Bradley left a comment in the discussion SetFilter does not correctly choose the ATM strike price
I think I figured it out. The equity prices are dividend adjusted while the option algorithm is not.
Bradley left a comment in the discussion Multiple Consolidators
Wow, very useful. How does the consolidator decide which TradeBar is consolidated first? Is it...
Bradley left a comment in the discussion Multiple Consolidators
But shouldn't the TradeBars dictionary contain 2 separate TradeBar objects, one for each...
Bradley left a comment in the discussion Multiple Consolidators
namespace QuantConnect { /* * QuantConnect University: Consolidators - Creating...
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Bradley left a comment in the discussion Incorrect implied volatility and delta for some security options pre-2017?
Here is the log output from the first 3 months of 2015 (SPY):
7 years ago