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-8.37Net Profit
2.211PSR
-1.217Sharpe Ratio
-0.103Alpha
-0.028Beta
-12.353CAR
11.2Drawdown
-0.06Loss Rate
6Parameters
0Security Types
-2.366Sortino Ratio
168Tradeable Dates
16Trades
3.58Treynor Ratio
0.03Win Rate
878.835Net Profit
56.328PSR
1.15Sharpe Ratio
0.208Alpha
-0.007Beta
23.218CAR
39.1Drawdown
-0.09Loss Rate
2Parameters
0Security Types
1.478Sortino Ratio
2750Tradeable Dates
557Trades
-29.426Treynor Ratio
0.88Win Rate
457.065Net Profit
40.392PSR
0.998Sharpe Ratio
0.137Alpha
-0.035Beta
15.26CAR
32.6Drawdown
-0.71Loss Rate
0Parameters
0Security Types
1.436Sortino Ratio
3042Tradeable Dates
701Trades
-3.818Treynor Ratio
0.4Win Rate
387.428Net Profit
16.194PSR
0.761Sharpe Ratio
0.205Alpha
-0.1Beta
19.231CAR
39.1Drawdown
-4.37Loss Rate
2Parameters
0Security Types
0.801Sortino Ratio
2264Tradeable Dates
131Trades
-1.94Treynor Ratio
8.39Win Rate
-1.226Net Profit
0.053PSR
0.026Sharpe Ratio
0.002Alpha
-0.001Beta
-0.133CAR
23.7Drawdown
-0.31Loss Rate
2Parameters
0Security Types
-0.004Sortino Ratio
2326Tradeable Dates
7Trades
-1.546Treynor Ratio
0Win Rate
Filib left a comment in the discussion Simulation of Withdrawal Plans
"In my opinion, it is wiser to regularly borrow a tiny amount of money and make it work than to...
Filib left a comment in the discussion Why is the benchmark shown in a different graph?
Thanks. But why does it have to be so cumbersome? Why cant the benchmark be displayed in the equity...
Filib left a comment in the discussion Stuck at implementing a variation of the Dual Momentum Strategy
Much better, thanks.
Filib left a comment in the discussion Forex Day Trading Strategy using the Algorithm Framework
Thanks! I really like how you redesigned the alpha model.
-8.37Net Profit
2.211PSR
-1.217Sharpe Ratio
-0.103Alpha
-0.028Beta
-12.353CAR
11.2Drawdown
-0.06Loss Rate
6Parameters
0Security Types
-2.366Sortino Ratio
168Tradeable Dates
16Trades
3.58Treynor Ratio
0.03Win Rate
878.835Net Profit
56.328PSR
1.15Sharpe Ratio
0.208Alpha
-0.007Beta
23.218CAR
39.1Drawdown
-0.09Loss Rate
2Parameters
0Security Types
1.478Sortino Ratio
2750Tradeable Dates
557Trades
-29.426Treynor Ratio
0.88Win Rate
457.065Net Profit
40.392PSR
0.998Sharpe Ratio
0.137Alpha
-0.035Beta
15.26CAR
32.6Drawdown
-0.71Loss Rate
0Parameters
0Security Types
1.436Sortino Ratio
3042Tradeable Dates
701Trades
-3.818Treynor Ratio
0.4Win Rate
387.428Net Profit
16.194PSR
0.761Sharpe Ratio
0.205Alpha
-0.1Beta
19.231CAR
39.1Drawdown
-4.37Loss Rate
2Parameters
0Security Types
0.801Sortino Ratio
2264Tradeable Dates
131Trades
-1.94Treynor Ratio
8.39Win Rate
-1.226Net Profit
0.053PSR
0.026Sharpe Ratio
0.002Alpha
-0.001Beta
-0.133CAR
23.7Drawdown
-0.31Loss Rate
2Parameters
0Security Types
-0.004Sortino Ratio
2326Tradeable Dates
7Trades
-1.546Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
4Parameters
1Security Types
0Sortino Ratio
0Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Parameters
0Security Types
312Tradeable Dates
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
12Parameters
1Security Types
0Sortino Ratio
291Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
12Parameters
0Security Types
2Tradeable Dates
0Parameters
0Security Types
3042Tradeable Dates
2.061Net Profit
0.733Sharpe Ratio
-0.025Alpha
2.665Beta
2.23CAR
2.2Drawdown
80Loss Rate
14Parameters
1Security Types
-0.77959169791693Sortino Ratio
288Tradeable Dates
11Trades
0.007Treynor Ratio
20Win Rate
-0.007Net Profit
-6.596Sharpe Ratio
0.002Alpha
-0.339Beta
-0.489CAR
0Drawdown
75Loss Rate
14Parameters
1Security Types
-1.0495575116996Sortino Ratio
2Tradeable Dates
12Trades
0.012Treynor Ratio
25Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
12Parameters
1Security Types
0Sortino Ratio
2Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
12Parameters
1Security Types
0Sortino Ratio
2Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
49Parameters
1Security Types
0Tradeable Dates
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
42Parameters
1Security Types
0Sortino Ratio
0Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
6Parameters
1Security Types
0Tradeable Dates
6Parameters
1Security Types
0Tradeable Dates
241.235Net Profit
0.737Sharpe Ratio
0.1Alpha
1.185Beta
11.795CAR
24.9Drawdown
39Loss Rate
2Parameters
1Security Types
0.78434542390119Sortino Ratio
2769Tradeable Dates
83Trades
0.104Treynor Ratio
61Win Rate
241.235Net Profit
0.737Sharpe Ratio
0.1Alpha
1.185Beta
11.795CAR
24.9Drawdown
39Loss Rate
2Parameters
1Security Types
0.78434542390119Sortino Ratio
2769Tradeable Dates
83Trades
0.104Treynor Ratio
61Win Rate
241.235Net Profit
0.737Sharpe Ratio
0.1Alpha
1.185Beta
11.795CAR
24.9Drawdown
39Loss Rate
4Parameters
1Security Types
0.78434542390119Sortino Ratio
2769Tradeable Dates
83Trades
0.104Treynor Ratio
61Win Rate
241.235Net Profit
0.737Sharpe Ratio
0.1Alpha
1.185Beta
11.795CAR
24.9Drawdown
39Loss Rate
4Parameters
1Security Types
0.78434542390119Sortino Ratio
2769Tradeable Dates
83Trades
0.104Treynor Ratio
61Win Rate
Filib left a comment in the discussion Simulation of Withdrawal Plans
Once again, thanks for the contribution Vladimir - but you are missing the point. I am mostly...
Filib left a comment in the discussion Simulation of Withdrawal Plans
"In my opinion, it is wiser to regularly borrow a tiny amount of money and make it work than to...
Filib left a comment in the discussion Why is the benchmark shown in a different graph?
Thanks. But why does it have to be so cumbersome? Why cant the benchmark be displayed in the equity...
Filib left a comment in the discussion Stuck at implementing a variation of the Dual Momentum Strategy
Much better, thanks.
Filib left a comment in the discussion Forex Day Trading Strategy using the Algorithm Framework
Thanks! I really like how you redesigned the alpha model.
Filib left a comment in the discussion Forex Day Trading Strategy using the Algorithm Framework
The attached backtest contains the basic outline of the target framework algorithm.
Filib started the discussion Building an AlphaModel using a custom indicator, based on different time frames
I am currently stuck trying to get symbol bars for different time windows, using the AlphaModel...
Filib started the discussion How to define the execution frequency in the Algorithm Framework?
How is the execution frequency in the Algorithm Framework defined? E.g., how can I set a monthly...
Filib started the discussion Equity Momentum Strategy (Andreas Clenow)
I am currently trying to migrate the Equity Momentum Strategy by Andreas Clenow to the...
Filib started the discussion How can I rebalance once a month on the first trading day, using the Framework Algorithm?
The following template framework algorithm
Filib started the discussion Trying to schedule rebalancing in the Algorithm Framework to once a month
Since there doesn't seem to be an easy way to schedule rebalancing to a once-a-month or once-a-week...
Filib started the discussion General recipe for tracking Morning Star Indices
Is there an easy way to track Morning Star Indices for Universe generation and rebalancing? At...
Filib started the discussion Automatically parse Universe components from online data
The following code show how a "backtestable" Dow-Universe could be automatically constructed based...
Filib started the discussion Schedule Coarse/Fine Universe Selection
The Framework Algorithm wizzard provides either a scheduled universe or a coarse/fine universe...
Filib started the discussion Technical Indicators based on range bars
I want to reproduce the following chart
Filib started the discussion Complex order with limit, stop loss and profit target
Depending on certain conditions in a strategy, I want to place a long order with a limit, a stop...
Filib started the discussion A Simple Forex Scalping Strategy
I am currently implementing a strategy that tries to detect short-term, intraday trends and ride...
Filib started the discussion Filter out
I am using
Filib started the discussion Universe consisting of all SPY stocks
How can I get a Universe consisting of all stocks which are part of common indices, such as SPY, or...
Filib started the discussion Universe of all available Futures
This notebook shows, that an individual Future contract can be selected by
Filib started the discussion Why do I get an AverageTrueRange of 0 ?
Running the following code
Filib started the discussion Why do different overloads of the history function return different types of objects?
Apparently, history does not return a python DataFrame when combined with a Universe.
Filib started the discussion Error trying to iterate through open positions
Trying iterate through the open positions in my portfolio and get the current price for each...
Filib started the discussion Asset not in security list, despite adding it through CoarseUniverse function
I am selecting a Universe of 20 stocks using the CoarseUniverse function. When I later try to get...
Filib started the discussion More securities than expected in self.Securities.Keys
I want to select 20 stocks using the following CoarseSelectionFunction:
Filib started the discussion Implementation of a simple stock trend following strategy inspired by Andreas Clenow's "Stocks On The Move"
See the code and backtest below for my take on implementing a simple trend following strategy...
Filib left a comment in the discussion Simulation of Withdrawal Plans
Once again, thanks for the contribution Vladimir - but you are missing the point. I am mostly...
3 years ago