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Public Backtests (2)

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Well Dressed Yellow Galago

-157.969Net Profit

0.041PSR

-0.196Sharpe Ratio

-0.255Alpha

1.2Beta

0CAR

131.7Drawdown

-0.07Loss Rate

12Parameters

0Security Types

0Sortino Ratio

3202Tradeable Dates

24329Trades

-0.102Treynor Ratio

0.01Win Rate

Shifting history_shift to forgo center variable

4227.894Net Profit

99.049PSR

1.897Sharpe Ratio

0.307Alpha

0.229Beta

31.474CAR

19.4Drawdown

-4.29Loss Rate

0Parameters

1Security Types

2.51Sortino Ratio

3464Tradeable Dates

61Trades

1.47Treynor Ratio

16.34Win Rate


Community

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GEightyFour started the discussion Long only unleveraged backtest results in negative balance?

So I've been backtesting momentum factors on long-only unleveraged equities lately but noticed in...

2 years ago

GEightyFour started the discussion Question on SetHoldings/CalculateOrderQuantity price usage on live deploy

Given that a deployed live algorithm is running all of its universe on Daily resolution. If the...

2 years ago

GEightyFour left a comment in the discussion Alpha Streams Refactoring 2.0

I really appreciate that your team is working on improving the Alpha Universes but is there any...

2 years ago

GEightyFour left a comment in the discussion Amazing returns = superior stock selection strategy + superior in & out strategy

Rafael Trevisan The general rule of thumb is to backtest on ~70-80% of all of the data you have....

2 years ago

GEightyFour started the discussion Long-term projected earnings growth in morningstar fundamentals?

Is there a fine fundamental property that holds such value as mentioned in the title?...

3 years ago

Well Dressed Yellow Galago

-157.969Net Profit

0.041PSR

-0.196Sharpe Ratio

-0.255Alpha

1.2Beta

0CAR

131.7Drawdown

-0.07Loss Rate

12Parameters

0Security Types

0Sortino Ratio

3202Tradeable Dates

24329Trades

-0.102Treynor Ratio

0.01Win Rate

Shifting history_shift to forgo center variable

4227.894Net Profit

99.049PSR

1.897Sharpe Ratio

0.307Alpha

0.229Beta

31.474CAR

19.4Drawdown

-4.29Loss Rate

0Parameters

1Security Types

2.51Sortino Ratio

3464Tradeable Dates

61Trades

1.47Treynor Ratio

16.34Win Rate

GEightyFour started the discussion Long only unleveraged backtest results in negative balance?

So I've been backtesting momentum factors on long-only unleveraged equities lately but noticed in...

2 years ago

GEightyFour started the discussion Question on SetHoldings/CalculateOrderQuantity price usage on live deploy

Given that a deployed live algorithm is running all of its universe on Daily resolution. If the...

2 years ago

GEightyFour left a comment in the discussion Alpha Streams Refactoring 2.0

I really appreciate that your team is working on improving the Alpha Universes but is there any...

2 years ago

GEightyFour left a comment in the discussion Amazing returns = superior stock selection strategy + superior in & out strategy

Rafael Trevisan The general rule of thumb is to backtest on ~70-80% of all of the data you have....

2 years ago

GEightyFour started the discussion Long-term projected earnings growth in morningstar fundamentals?

Is there a fine fundamental property that holds such value as mentioned in the title?...

3 years ago

GEightyFour started the discussion Loops longer than 10 minutes on live?

I have been running into issues with my universe selection during live deployment where I encounter...

3 years ago

GEightyFour left a comment in the discussion The In & Out Strategy - Continued from Quantopian

Peter Guenther I appreciate your explanation Peter. Having the center=True parameter made that...

3 years ago

GEightyFour left a comment in the discussion The In & Out Strategy - Continued from Quantopian

Peter Guenther Can you explain what are we trying to achieve here? Looks like some odd delayed...

3 years ago

GEightyFour left a comment in the discussion Finite Impulse Response Digital Filter (Power Weighted Moving Average).

Interesting, but what use cases would this have over just using SMA/EMA?

3 years ago

GEightyFour left a comment in the discussion Loops longer than 10 minutes on live?

I ended up ported algorithm into csharp instead, shaved off a few minutes in runtime by doing so. I...

3 years ago