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Public Backtests (10)

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lev = 1.5, max = 3.0

502.713Net Profit

89.472PSR

1.415Sharpe Ratio

0.12Alpha

0.228Beta

20.463CAR

16.1Drawdown

59Loss Rate

0Parameters

2Security Types

1.415Sortino Ratio

2426Tradeable Dates

2489Trades

0.628Treynor Ratio

41Win Rate

QQQ, long short, lev=2, no EoD exit

1110.998Net Profit

89.42PSR

1.457Sharpe Ratio

0.182Alpha

0.279Beta

29.622CAR

15.2Drawdown

-0.72Loss Rate

0Parameters

0Security Types

2417Tradeable Dates

2794Trades

0.747Treynor Ratio

1.4Win Rate

Long only, no EoD exit, Leverage 2, QQQ + SPY ***

626.129Net Profit

95.884PSR

1.542Sharpe Ratio

0.127Alpha

0.332Beta

22.905CAR

9.2Drawdown

-0.27Loss Rate

0Parameters

0Security Types

2417Tradeable Dates

5721Trades

0.479Treynor Ratio

0.49Win Rate

Custom

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

33Parameters

1Security Types

0Sortino Ratio

38Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Dancing Violet Duck

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

2Security Types

0Sortino Ratio

4966Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate


Community

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Frank left a comment in the discussion Micro Study: Yen Carry Trade

Dear @Kevin, would you mind sharing a little algo with your table and lookup? Sounds interesting!...

2 months ago

Frank left a comment in the discussion Volume Profile Indicator Implementation in C#

Hi Guys, @cole-s, @derek-melchin,

11 months ago

Frank left a comment in the discussion How to set universal leverage for my algorithm?

Hi guys,

2 years ago

Frank left a comment in the discussion KEI based Strategy

Hi there,

3 years ago

Frank left a comment in the discussion Shorting bubbles at the top

Hi guys,

3 years ago

lev = 1.5, max = 3.0

502.713Net Profit

89.472PSR

1.415Sharpe Ratio

0.12Alpha

0.228Beta

20.463CAR

16.1Drawdown

59Loss Rate

0Parameters

2Security Types

1.415Sortino Ratio

2426Tradeable Dates

2489Trades

0.628Treynor Ratio

41Win Rate

QQQ, long short, lev=2, no EoD exit

1110.998Net Profit

89.42PSR

1.457Sharpe Ratio

0.182Alpha

0.279Beta

29.622CAR

15.2Drawdown

-0.72Loss Rate

0Parameters

0Security Types

2417Tradeable Dates

2794Trades

0.747Treynor Ratio

1.4Win Rate

Long only, no EoD exit, Leverage 2, QQQ + SPY ***

626.129Net Profit

95.884PSR

1.542Sharpe Ratio

0.127Alpha

0.332Beta

22.905CAR

9.2Drawdown

-0.27Loss Rate

0Parameters

0Security Types

2417Tradeable Dates

5721Trades

0.479Treynor Ratio

0.49Win Rate

Custom

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

33Parameters

1Security Types

0Sortino Ratio

38Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Dancing Violet Duck

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

2Security Types

0Sortino Ratio

4966Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

PSR 100.000%

12302.758Net Profit

100PSR

3.843Sharpe Ratio

0.954Alpha

-0.122Beta

115.548CAR

20.8Drawdown

-2.52Loss Rate

65Parameters

1Security Types

4.853Sortino Ratio

1578Tradeable Dates

747Trades

-7.667Treynor Ratio

5.61Win Rate

PSR 96.5% CAR 40.8% DD 22.3%

8581.545Net Profit

96.538PSR

1.702Sharpe Ratio

0Alpha

0Beta

40.793CAR

22.3Drawdown

-1.14Loss Rate

15Parameters

0Security Types

2.699Sortino Ratio

3282Tradeable Dates

879Trades

0Treynor Ratio

2.18Win Rate

Swimming Light Brown Llama

12.68Net Profit

77.542PSR

27.627Sharpe Ratio

0Alpha

0Beta

2525.865CAR

6.8Drawdown

-1.27Loss Rate

14Parameters

0Security Types

86.146Sortino Ratio

8Tradeable Dates

37Trades

0Treynor Ratio

0.28Win Rate

Minor changes

6304.328Net Profit

88.605PSR

1.51Sharpe Ratio

0.311Alpha

0.22Beta

37.606CAR

23.6Drawdown

-0.06Loss Rate

23Parameters

0Security Types

2.145Sortino Ratio

3278Tradeable Dates

21390Trades

1.512Treynor Ratio

0.07Win Rate

QQQ,MSFT,NFLX; VOLA 105; BASE_RET 85; VOLA_FACTOR 0.6; LEV = 0.99

9442.325Net Profit

99.324PSR

1.866Sharpe Ratio

0.347Alpha

0.112Beta

41.872CAR

18.7Drawdown

-0.75Loss Rate

19Parameters

1Security Types

3.131Sortino Ratio

3279Tradeable Dates

267Trades

3.184Treynor Ratio

5.05Win Rate

Frank left a comment in the discussion Micro Study: Yen Carry Trade

Dear @Kevin, would you mind sharing a little algo with your table and lookup? Sounds interesting!...

2 months ago

Frank left a comment in the discussion Volume Profile Indicator Implementation in C#

Hi Guys, @cole-s, @derek-melchin,

11 months ago

Frank left a comment in the discussion How to set universal leverage for my algorithm?

Hi guys,

2 years ago

Frank left a comment in the discussion KEI based Strategy

Hi there,

3 years ago

Frank left a comment in the discussion Shorting bubbles at the top

Hi guys,

3 years ago

Frank left a comment in the discussion Shorting bubbles at the top

AK M, thanks for the nice words ;).

3 years ago