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18Parameters
0Security Types
2Tradeable Dates
7.803Net Profit
1.337Sharpe Ratio
0.298Alpha
-2.479Beta
34.8CAR
8.3Drawdown
0Loss Rate
2Security Types
0Sortino Ratio
65Tradeable Dates
59Trades
-0.104Treynor Ratio
100Win Rate
-0.088Net Profit
-9.165Sharpe Ratio
0.032Alpha
-5.739Beta
-8.041CAR
0.1Drawdown
0Loss Rate
2Security Types
0Sortino Ratio
1Tradeable Dates
4Trades
0.013Treynor Ratio
0Win Rate
-0.259Net Profit
-3.384Sharpe Ratio
-0.047Alpha
1.127Beta
-3.898CAR
0.4Drawdown
0Loss Rate
2Security Types
0Sortino Ratio
18Tradeable Dates
3Trades
-0.026Treynor Ratio
0Win Rate
-0.54Net Profit
-2.973Sharpe Ratio
-0.029Alpha
-6.262Beta
-15.368CAR
1Drawdown
0Loss Rate
2Security Types
0Sortino Ratio
8Tradeable Dates
8Trades
0.02Treynor Ratio
100Win Rate
Christian started the discussion Removing options from universe
Hello everyone,
Christian started the discussion Increasing the maximum of data subscribtions
When trying to go into live trading with my options algorithm using my Interactive Brokers account...
Christian started the discussion Accessing fill price of options
Right now I'm placing orders and store the fill price in a dictionary with the following code:
Christian started the discussion Accessing time in history data frame
Hello everyone,
Christian started the discussion 90-days average true ragne
Hello everyone,
18Parameters
0Security Types
2Tradeable Dates
7.803Net Profit
1.337Sharpe Ratio
0.298Alpha
-2.479Beta
34.8CAR
8.3Drawdown
0Loss Rate
2Security Types
0Sortino Ratio
65Tradeable Dates
59Trades
-0.104Treynor Ratio
100Win Rate
-0.088Net Profit
-9.165Sharpe Ratio
0.032Alpha
-5.739Beta
-8.041CAR
0.1Drawdown
0Loss Rate
2Security Types
0Sortino Ratio
1Tradeable Dates
4Trades
0.013Treynor Ratio
0Win Rate
-0.259Net Profit
-3.384Sharpe Ratio
-0.047Alpha
1.127Beta
-3.898CAR
0.4Drawdown
0Loss Rate
2Security Types
0Sortino Ratio
18Tradeable Dates
3Trades
-0.026Treynor Ratio
0Win Rate
-0.54Net Profit
-2.973Sharpe Ratio
-0.029Alpha
-6.262Beta
-15.368CAR
1Drawdown
0Loss Rate
2Security Types
0Sortino Ratio
8Tradeable Dates
8Trades
0.02Treynor Ratio
100Win Rate
-0.86Net Profit
-7.952Sharpe Ratio
-0.102Alpha
-5.283Beta
-21.792CAR
1.3Drawdown
0Loss Rate
2Security Types
0Sortino Ratio
9Tradeable Dates
10Trades
0.034Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
5Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
-2.537Net Profit
-5.737Sharpe Ratio
-0.728Alpha
0.541Beta
-57.38CAR
4.2Drawdown
58Loss Rate
1Security Types
0.0063074685850097Sortino Ratio
7Tradeable Dates
923Trades
-1.184Treynor Ratio
42Win Rate
-0.162Net Profit
-0.013Sharpe Ratio
-0.047Alpha
0.669Beta
-0.757CAR
7.4Drawdown
50Loss Rate
1Security Types
0Sortino Ratio
54Tradeable Dates
6Trades
-0.002Treynor Ratio
50Win Rate
0.305Net Profit
1.697Sharpe Ratio
0.018Alpha
0.026Beta
3.225CAR
0.5Drawdown
30Loss Rate
1Security Types
0.1997315280623Sortino Ratio
24Tradeable Dates
66Trades
1.003Treynor Ratio
70Win Rate
-0.53Net Profit
-4.111Sharpe Ratio
-0.042Alpha
-0.009Beta
-5.388CAR
0.7Drawdown
88Loss Rate
1Security Types
-0.22334267488468Sortino Ratio
24Tradeable Dates
68Trades
4.934Treynor Ratio
12Win Rate
0.029Net Profit
0.076Sharpe Ratio
0.066Alpha
-0.213Beta
0.298CAR
1.6Drawdown
54Loss Rate
1Security Types
0.026419829332088Sortino Ratio
24Tradeable Dates
48Trades
-0.016Treynor Ratio
46Win Rate
-2.475Net Profit
-11.416Sharpe Ratio
-1.285Alpha
-0.31Beta
-83.947CAR
3.6Drawdown
69Loss Rate
1Security Types
0.017513519962507Sortino Ratio
3Tradeable Dates
399Trades
4.047Treynor Ratio
31Win Rate
-0.31Net Profit
-0.765Sharpe Ratio
-0.073Alpha
-0.311Beta
-6.83CAR
1.4Drawdown
60Loss Rate
1Security Types
-0.018517873415127Sortino Ratio
12Tradeable Dates
175Trades
0.161Treynor Ratio
40Win Rate
-1.283Net Profit
-5.821Sharpe Ratio
-0.234Alpha
0.013Beta
-26.96CAR
1.7Drawdown
75Loss Rate
1Security Types
-0.32210671583688Sortino Ratio
11Tradeable Dates
152Trades
-18.233Treynor Ratio
25Win Rate
-2.207Net Profit
-8.502Sharpe Ratio
-0.971Alpha
-1.524Beta
-74.271CAR
3.7Drawdown
60Loss Rate
1Security Types
-0.046262665073338Sortino Ratio
5Tradeable Dates
544Trades
0.524Treynor Ratio
40Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
22Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
2.351Net Profit
1.098Sharpe Ratio
0.06Alpha
0.791Beta
11.538CAR
3.8Drawdown
33Loss Rate
1Security Types
7.7558486355438Sortino Ratio
54Tradeable Dates
13Trades
0.144Treynor Ratio
67Win Rate
2.564Net Profit
1.163Sharpe Ratio
0.071Alpha
0.775Beta
12.635CAR
4.1Drawdown
33Loss Rate
1Security Types
4.9362592437371Sortino Ratio
54Tradeable Dates
15Trades
0.16Treynor Ratio
67Win Rate
3.717Net Profit
1.407Sharpe Ratio
-0.106Alpha
0.84Beta
18.198CAR
6.6Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
56Tradeable Dates
7Trades
0.204Treynor Ratio
100Win Rate
-2.69Net Profit
-1.413Sharpe Ratio
-0.228Alpha
0.786Beta
-17.834CAR
4.6Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
780Tradeable Dates
5Trades
-0.232Treynor Ratio
100Win Rate
Christian started the discussion Removing options from universe
Hello everyone,
Christian started the discussion Increasing the maximum of data subscribtions
When trying to go into live trading with my options algorithm using my Interactive Brokers account...
Christian started the discussion Accessing fill price of options
Right now I'm placing orders and store the fill price in a dictionary with the following code:
Christian started the discussion Accessing time in history data frame
Hello everyone,
Christian started the discussion 90-days average true ragne
Hello everyone,
Christian left a comment in the discussion 90-days average true ragne
Hello Daniel,
Christian left a comment in the discussion 90-days average true ragne
Hello Daniel,
Christian left a comment in the discussion 90-days average true ragne
Hello Apollos,
Christian left a comment in the discussion Accessing time in history data frame
Hello Link,
Christian left a comment in the discussion Increasing the maximum of data subscribtions
Hello Alex,
Christian started the discussion Reducing position size
Hello everyone,
Christian started the discussion Average true range on five-second bars
Hello everyone,
Christian started the discussion Trading options for multiple symbols
Hello everyone,
Christian started the discussion 'NoneType' object is not iterable
I get that error when working with options on certain stocks on certain dates.
Christian started the discussion Option on strange stock being traded
In the attached backtest on the 14th of June 2018 an option is traded on VRX
Christian started the discussion Getting historical closing price
Hello everyone,
Christian started the discussion Creating rolling windows for multiple stocks
Hello everyone,
Christian started the discussion Speeding up backtests
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Christian started the discussion Unnecessary logs and trades
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Christian started the discussion Scheduling a function on market hours only
Hello everyone,
Christian started the discussion Questions about VWAP
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Christian started the discussion How to use the time object in Python?
Hello everyone,
Christian started the discussion Strange values for volume
Hello everyone,
Christian left a comment in the discussion 90-days average true ragne
Hello Daniel,
5 years ago