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Public Backtests (41)

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v9N Clone 2017 Take40 Omit 40bps full year

11.53Net Profit

96.428PSR

2.077Sharpe Ratio

0.006Alpha

0.434Beta

11.608CAR

1.6Drawdown

-0.06Loss Rate

85Parameters

0Security Types

0Tradeable Dates

827Trades

0.146Treynor Ratio

0.12Win Rate

v10K 2 2023 10pct Loss parameterized SQL Sourcing VE 12

-2.152Net Profit

0.13PSR

-7.355Sharpe Ratio

-0.065Alpha

-0.018Beta

-2.166CAR

2.9Drawdown

-0.04Loss Rate

316Parameters

0Security Types

0Tradeable Dates

571Trades

3.65Treynor Ratio

0.03Win Rate

10 Short PTON

0.105Net Profit

85.851PSR

2.017Sharpe Ratio

0.001Alpha

-0.001Beta

0.14CAR

0Drawdown

-0.01Loss Rate

85Parameters

0Security Types

189Tradeable Dates

10Trades

-1.012Treynor Ratio

0.16Win Rate

10ShortAlex -- GS checking LEAN Assignment Bug

-0.064Net Profit

0.067PSR

-1.587Sharpe Ratio

0Alpha

-0.001Beta

-0.064CAR

0.1Drawdown

-0.03Loss Rate

85Parameters

0Security Types

252Tradeable Dates

3Trades

0.538Treynor Ratio

0Win Rate

9N1 2016 omitted TD

3.406Net Profit

55.373PSR

1.127Sharpe Ratio

0.01Alpha

0.152Beta

3.406CAR

1.9Drawdown

-0.03Loss Rate

85Parameters

0Security Types

252Tradeable Dates

1162Trades

0.156Treynor Ratio

0.06Win Rate


Community

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Craig started the discussion Is there a way to compare a backtest's code with the current code in a project?

I ran several successful backtests while successively making changes to the code.   Suddenly, it...

1 years ago

Craig started the discussion How to modify ETF Momentum algo to use top 3 symbols by momentum

Hello,

1 years ago

Craig started the discussion Having problems with PlotLy in Jupyter -- charts only 2 bars

Thank you in advance for your help.    I am racking my brain, but cannot solve for plotting more...

1 years ago

Craig started the discussion Browser coding environment sometimes won't implement Intellisense or code folding

Hello, 

1 years ago

Craig left a comment in the discussion Browser coding environment sometimes won't implement Intellisense or code folding

Hey!   Amazingly, the coding environment loaded this morning with the features!   Spontaneous...

1 years ago

v9N Clone 2017 Take40 Omit 40bps full year

11.53Net Profit

96.428PSR

2.077Sharpe Ratio

0.006Alpha

0.434Beta

11.608CAR

1.6Drawdown

-0.06Loss Rate

85Parameters

0Security Types

0Tradeable Dates

827Trades

0.146Treynor Ratio

0.12Win Rate

v10K 2 2023 10pct Loss parameterized SQL Sourcing VE 12

-2.152Net Profit

0.13PSR

-7.355Sharpe Ratio

-0.065Alpha

-0.018Beta

-2.166CAR

2.9Drawdown

-0.04Loss Rate

316Parameters

0Security Types

0Tradeable Dates

571Trades

3.65Treynor Ratio

0.03Win Rate

10 Short PTON

0.105Net Profit

85.851PSR

2.017Sharpe Ratio

0.001Alpha

-0.001Beta

0.14CAR

0Drawdown

-0.01Loss Rate

85Parameters

0Security Types

189Tradeable Dates

10Trades

-1.012Treynor Ratio

0.16Win Rate

10ShortAlex -- GS checking LEAN Assignment Bug

-0.064Net Profit

0.067PSR

-1.587Sharpe Ratio

0Alpha

-0.001Beta

-0.064CAR

0.1Drawdown

-0.03Loss Rate

85Parameters

0Security Types

252Tradeable Dates

3Trades

0.538Treynor Ratio

0Win Rate

9N1 2016 omitted TD

3.406Net Profit

55.373PSR

1.127Sharpe Ratio

0.01Alpha

0.152Beta

3.406CAR

1.9Drawdown

-0.03Loss Rate

85Parameters

0Security Types

252Tradeable Dates

1162Trades

0.156Treynor Ratio

0.06Win Rate

VE 345 Risk Adjusted 2022

4.147Net Profit

50.093PSR

1.016Sharpe Ratio

0.013Alpha

0.184Beta

4.147CAR

2.8Drawdown

-0.03Loss Rate

85Parameters

0Security Types

252Tradeable Dates

1142Trades

0.157Treynor Ratio

0.1Win Rate

Multi-ETF taking top 3 ETFs by momentum percent for 2016-2022

61.686Net Profit

2.945PSR

0.413Sharpe Ratio

0Alpha

0Beta

7.103CAR

26.9Drawdown

-1.71Loss Rate

12Parameters

0Security Types

1762Tradeable Dates

249Trades

0Treynor Ratio

1.92Win Rate

VE 345 2022 -10pct +20pct Strikes 190Expiry Take 40 3-27

2.981Net Profit

40.889PSR

0.82Sharpe Ratio

0.032Alpha

0.099Beta

2.989CAR

2.8Drawdown

-0.06Loss Rate

85Parameters

0Security Types

251Tradeable Dates

823Trades

0.212Treynor Ratio

0.13Win Rate

VE 345 2016 -10pct +20pct Strikes 190Expiry Take 40 fixed missing tprs after rolling and rolling up

4.494Net Profit

52.631PSR

1.072Sharpe Ratio

0.015Alpha

0.189Beta

4.494CAR

3Drawdown

-0.03Loss Rate

80Parameters

0Security Types

252Tradeable Dates

1142Trades

0.166Treynor Ratio

0.08Win Rate

VE 345 2016 -10pct +20pct Strikes 190 Expiry Take20 fix mixed SSQR

5.335Net Profit

49.229PSR

1.002Sharpe Ratio

0.016Alpha

0.246Beta

5.335CAR

3.3Drawdown

-0.03Loss Rate

80Parameters

0Security Types

252Tradeable Dates

915Trades

0.152Treynor Ratio

0.05Win Rate

Multi ETF 1 mos MOMP 2020-2022

2.073Net Profit

60.499PSR

1.165Sharpe Ratio

0.004Alpha

0.015Beta

1.03CAR

0.5Drawdown

-0.01Loss Rate

85Parameters

0Security Types

505Tradeable Dates

158Trades

0.475Treynor Ratio

0.02Win Rate

Multi ETF 1-3-6mos averaged MOMP 2020-2022

3.053Net Profit

75.836PSR

1.426Sharpe Ratio

0.007Alpha

0.017Beta

1.513CAR

0.5Drawdown

-0.01Loss Rate

85Parameters

0Security Types

505Tradeable Dates

104Trades

0.623Treynor Ratio

0.05Win Rate

2016 6 mos -10pct/+20pct strikes 190Expiry Take40 true 9month gain

4.005Net Profit

81.811PSR

2.141Sharpe Ratio

0.048Alpha

0.134Beta

8.195CAR

1.3Drawdown

-0.03Loss Rate

80Parameters

0Security Types

125Tradeable Dates

601Trades

0.423Treynor Ratio

0.06Win Rate

VE 345 2020-3 mos to determine why no trades early on

0.135Net Profit

62.794PSR

1.458Sharpe Ratio

0.003Alpha

0.001Beta

0.408CAR

0.1Drawdown

-0.03Loss Rate

80Parameters

0Security Types

83Tradeable Dates

40Trades

2.97Treynor Ratio

0.05Win Rate

VE 345 2016->01 with full logging 3 month or longer options then 1 2 3 month Eliminated ROR check

0.07Net Profit

65.14PSR

2.213Sharpe Ratio

0.011Alpha

0.012Beta

0.881CAR

0.1Drawdown

-0.02Loss Rate

80Parameters

0Security Types

19Tradeable Dates

22Trades

0.513Treynor Ratio

0Win Rate

VE Blended 2016-05 OI500 with displaced ExecuteTrade

0.121Net Profit

61.329PSR

1.368Sharpe Ratio

0.002Alpha

0.006Beta

0.29CAR

0.1Drawdown

-0.07Loss Rate

80Parameters

0Security Types

103Tradeable Dates

8Trades

0.337Treynor Ratio

0Win Rate

VE Blended 345 6-9mos expiration force OTM Call write fade less than 5pct appreciation

0.439Net Profit

20.792PSR

0.632Sharpe Ratio

0.001Alpha

0.003Beta

0.146CAR

0.2Drawdown

-0.05Loss Rate

80Parameters

0Security Types

754Tradeable Dates

33Trades

0.313Treynor Ratio

0.23Win Rate

2018-2020 Multiple ETFs LDOM trades with stock package management

1.356Net Profit

4.451PSR

0.178Sharpe Ratio

-0.004Alpha

0.06Beta

0.45CAR

3.8Drawdown

-0.05Loss Rate

80Parameters

0Security Types

756Tradeable Dates

537Trades

0.054Treynor Ratio

0.13Win Rate

2016-2017 Multiple ETFs LDOM trades with stock package management

0.861Net Profit

15.707PSR

0.401Sharpe Ratio

0Alpha

0.022Beta

0.43CAR

1Drawdown

-0.01Loss Rate

80Parameters

0Security Types

503Tradeable Dates

372Trades

0.137Treynor Ratio

0.03Win Rate

Dancing Orange Falcon

93.647Net Profit

11.966PSR

0.645Sharpe Ratio

0Alpha

0Beta

9.898CAR

20.2Drawdown

-3.98Loss Rate

10Parameters

0Security Types

1762Tradeable Dates

49Trades

0Treynor Ratio

7.36Win Rate

Square Green Owlet

66.942Net Profit

1.836PSR

0.352Sharpe Ratio

0Alpha

0Beta

7.594CAR

36.7Drawdown

-4.13Loss Rate

13Parameters

0Security Types

1762Tradeable Dates

103Trades

0Treynor Ratio

4.72Win Rate

VE 345 2016-2019 20pctSTtrikes 270xpiry Take30 TakeProfit force OTMcall in VECase2

6.653Net Profit

53.808PSR

1.046Sharpe Ratio

0.006Alpha

0.051Beta

1.622CAR

1.2Drawdown

-0.08Loss Rate

190Parameters

0Security Types

0Tradeable Dates

170Trades

0.22Treynor Ratio

0.17Win Rate

VE 345 2019-2022 20pctStrikes 270xpiry Take30 TakeProfit force OTM call in VECase2

2.765Net Profit

6.005PSR

0.353Sharpe Ratio

0.001Alpha

0.037Beta

0.684CAR

2.7Drawdown

-0.07Loss Rate

190Parameters

0Security Types

0Tradeable Dates

123Trades

0.131Treynor Ratio

0.22Win Rate

VE 345 20pctStrikes 270Expriy Take30 TakeProfit 2019-2022

3.59Net Profit

41.77PSR

0.931Sharpe Ratio

0.006Alpha

-0.003Beta

0.886CAR

0.6Drawdown

-0.09Loss Rate

190Parameters

0Security Types

0Tradeable Dates

273Trades

-2.417Treynor Ratio

0.22Win Rate

VE 345 enhanced with 20pctStrikes 270Expiry take30 take profit

3.223Net Profit

30.627PSR

0.751Sharpe Ratio

0.002Alpha

0.053Beta

1.063CAR

1.4Drawdown

-0.09Loss Rate

190Parameters

0Security Types

0Tradeable Dates

279Trades

0.139Treynor Ratio

0.17Win Rate

VE 2016 with HandleCollapse

1.593Net Profit

56.578PSR

1.147Sharpe Ratio

0.007Alpha

0.042Beta

1.593CAR

0.6Drawdown

-0.07Loss Rate

188Parameters

0Security Types

1.899Sortino Ratio

0Tradeable Dates

94Trades

0.265Treynor Ratio

0.13Win Rate

Virtual Magenta Barracuda

1.445Net Profit

61.211PSR

1.237Sharpe Ratio

0.008Alpha

0.011Beta

1.453CAR

0.6Drawdown

-0.09Loss Rate

188Parameters

0Security Types

2.468Sortino Ratio

0Tradeable Dates

66Trades

0.929Treynor Ratio

0.16Win Rate

VE take 20 5000 shares per with full collar put Rollup fix

-0.837Net Profit

1.223PSR

-0.322Sharpe Ratio

-0.004Alpha

0.006Beta

-0.42CAR

1.5Drawdown

-0.07Loss Rate

188Parameters

0Security Types

-0.457Sortino Ratio

0Tradeable Dates

234Trades

-0.511Treynor Ratio

0.18Win Rate

VE Driven composite 2016-2022

0.031Net Profit

0.117PSR

0.045Sharpe Ratio

0Alpha

0Beta

0.004CAR

0.2Drawdown

0Loss Rate

183Parameters

0Security Types

0.074Sortino Ratio

0Tradeable Dates

360Trades

-0.066Treynor Ratio

0.01Win Rate

VE 4 Rank 2016-2022

-0.036Net Profit

0.035PSR

-0.065Sharpe Ratio

0Alpha

-0.001Beta

-0.005CAR

0.3Drawdown

0Loss Rate

183Parameters

0Security Types

-0.111Sortino Ratio

0Tradeable Dates

196Trades

0.027Treynor Ratio

0.01Win Rate

Craig started the discussion Is there a way to compare a backtest's code with the current code in a project?

I ran several successful backtests while successively making changes to the code.   Suddenly, it...

1 years ago

Craig started the discussion How to modify ETF Momentum algo to use top 3 symbols by momentum

Hello,

1 years ago

Craig started the discussion Having problems with PlotLy in Jupyter -- charts only 2 bars

Thank you in advance for your help.    I am racking my brain, but cannot solve for plotting more...

1 years ago

Craig started the discussion Browser coding environment sometimes won't implement Intellisense or code folding

Hello, 

1 years ago

Craig left a comment in the discussion Browser coding environment sometimes won't implement Intellisense or code folding

Hey!   Amazingly, the coding environment loaded this morning with the features!   Spontaneous...

1 years ago

Craig left a comment in the discussion Browser coding environment sometimes won't implement Intellisense or code folding

Thank you Mia.   It is interesting you should suggest measures which address tonic or persistent...

1 years ago

Craig left a comment in the discussion Browser coding environment sometimes won't implement Intellisense or code folding

Hi Mia,

1 years ago

Craig left a comment in the discussion Having problems with PlotLy in Jupyter -- charts only 2 bars

I managed to fix the code:

1 years ago

Craig left a comment in the discussion How to modify ETF Momentum algo to use top 3 symbols by momentum

Thank you Guys very, very much.

1 years ago

Craig left a comment in the discussion Is there a way to compare a backtest's code with the current code in a project?

Thanks Derek.  That was indeed my work around.   

1 years ago

Craig started the discussion Does the Fine filter begin with the coarse?

Hello, my fine filter includes stocks that do not match my coarse requirements.

2 years ago

Craig started the discussion Is anyone else having issues with the new coding IDE?

Hi,

2 years ago

Craig started the discussion What are the best practices for managing and re-pricing limit orders if they are not filled entirely?

Hello all,

3 years ago

Craig started the discussion Is there a way to obtain the LineNo from the exception object?

Hello all, and happy new year.

3 years ago

Craig started the discussion How to use LINQ to return options from a universe

We migrated to the use of Universes in order to return fundamental data and to subscribe to options...

3 years ago

Craig started the discussion How do I retrieve and evaluate ex-Dividend Dates?

Hello,

4 years ago

Craig started the discussion How can I retrieve Ex-Dividend dates?

Hello, I'm asking this question again now that I've joined as a member.  

4 years ago

Craig started the discussion Can I iterate through an OptionChains class, and if so how? Or, must I iteratively apply .SetFilter.

I'd like to interate through an OptionsChains class to identify chains with different strikes or...

4 years ago

Craig started the discussion Are the options chains National Best Bid/Offer (NBB / NBO)?

Does anyone know if the options chains are from 1 or from more than 1 exchange?

4 years ago

Craig started the discussion Can someone help me with a C# implementation of this OptionChains Python code?

All, I need to iterate through OptionChains class members to select individual chains based upon...

4 years ago

Craig started the discussion How may I upload and utilize Dividend data?

I have sources of dividend data in the form of files (CSV & Jason) and also webservices...

4 years ago

Craig started the discussion Option Greeks are 0 using AddOptionContract and setting PriceModel

Hello, 

4 years ago

Craig started the discussion Can any tell me whether Fine.ValuationRatios.TrailingDividendYield is a percent value?

Hi all.   I cannot discern from the documentation and my code is returning suspicious values. ...

4 years ago