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Public Backtests (22)

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Crawling Apricot Fox

-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

Smooth Sky Blue Pig

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

Creative Brown Salmon

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

Square Fluorescent Yellow Alligator

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

Fat Fluorescent Orange Crocodile

-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


Community

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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

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...

3 years ago

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...

3 years ago

Filib left a comment in the discussion Stuck at implementing a variation of the Dual Momentum Strategy

Much better, thanks.

3 years ago

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. 

4 years ago

Crawling Apricot Fox

-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

Smooth Sky Blue Pig

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

Creative Brown Salmon

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

Square Fluorescent Yellow Alligator

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

Fat Fluorescent Orange Crocodile

-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

Pensive Brown Hippopotamus

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

4Parameters

1Security Types

0Sortino Ratio

0Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Alert Black Hyena

0Parameters

0Security Types

312Tradeable Dates

[Debugging] Determined Black Dragonfly

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

12Parameters

1Security Types

0Sortino Ratio

291Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Upgraded Red Horse

12Parameters

0Security Types

2Tradeable Dates

Geeky Apricot Panda

0Parameters

0Security Types

3042Tradeable Dates

Square Asparagus Fly

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

Crawling Yellow-Green Lemur

-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

Calm Red-Orange Kangaroo

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

12Parameters

1Security Types

0Sortino Ratio

2Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Focused Blue Hippopotamus

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

12Parameters

1Security Types

0Sortino Ratio

2Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Logical Black Crocodile

49Parameters

1Security Types

0Tradeable Dates

Well Dressed Black kitten

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

42Parameters

1Security Types

0Sortino Ratio

0Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Virtual Orange Rhinoceros

6Parameters

1Security Types

0Tradeable Dates

Crawling Yellow-Green Jaguar

6Parameters

1Security Types

0Tradeable Dates

Muscular Light Brown Goat

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

Crawling Violet Seahorse

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

Muscular Apricot Guanaco

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

Creative Fluorescent Pink Dolphin

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...

3 years ago

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...

3 years ago

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...

3 years ago

Filib left a comment in the discussion Stuck at implementing a variation of the Dual Momentum Strategy

Much better, thanks.

3 years ago

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. 

4 years ago

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.

4 years ago

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...

5 years ago

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...

5 years ago

Filib started the discussion Equity Momentum Strategy (Andreas Clenow)

I am currently trying to migrate the Equity Momentum Strategy by Andreas Clenow to the...

5 years ago

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 

5 years ago

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...

5 years ago

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...

5 years ago

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...

5 years ago

Filib started the discussion Schedule Coarse/Fine Universe Selection

The Framework Algorithm wizzard provides either a scheduled universe or a coarse/fine universe...

5 years ago

Filib started the discussion Technical Indicators based on range bars

I want to reproduce the following chart 

5 years ago

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...

5 years ago

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...

5 years ago

Filib started the discussion Filter out

I am using 

6 years ago

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...

6 years ago

Filib started the discussion Universe of all available Futures

This notebook shows, that an individual Future contract can be selected by

6 years ago

Filib started the discussion Why do I get an AverageTrueRange of 0 ?

Running the following code

6 years ago

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.

6 years ago

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...

6 years ago

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...

6 years ago

Filib started the discussion More securities than expected in self.Securities.Keys

I want to select 20 stocks using the following CoarseSelectionFunction:

6 years ago

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...

6 years ago