Jack Simonson
Hank is my Co-Pilot
Date Joined
2nd January, 2019
Bootcamp progress
45% Complete
Achievements
Algorithm Sharing
Share an algorithm with the community by making your algorithm public.
2019-01-17 01:53:15
Notebook Sharing
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2019-01-15 16:07:52
Chatter Box
Leave at least 100 comments on community posts.
2019-02-27 00:51:30
Backtester
Run at least 100 backtests on QuantConnect's cloud.
2019-01-04 23:54:49
Live Trading
Deploy a live trading algorithm using one of QuantConnect's supported brokerages.
2019-01-15 23:59:46
Parallel Live Trading
Run multiple live algorithms simultaneously.
2019-01-16 01:11:10
C# Programming
Choose C# as your preferred programming language.
2019-02-09 01:24:46
Python Programming
Choose Python as your preferred programming language.
2019-01-02 17:27:04
Popular
Receive at least 10 upvotes from different users in the community.
2019-02-27 18:06:32
Bug Hunter
Report at least 10 bugs to QuantConnect.
2020-05-09 02:01:01
Boot Camp Private
Complete a beginner bootcamp in the algorithm lab.
2019-01-02 22:24:29
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Verify your identity and become a verified QuantConnect user.
2019-07-23 13:23:19
Alpha Streams Developer
Have at least 1 Alpha Stream submission approved.
2019-10-03 18:53:04
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Have at least 3 Alpha Stream submissions approved.
2019-10-03 21:54:02
Alpha Streams Master
Have at least 10 Alpha Stream submissions approved.
2020-01-16 22:03:01
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Public Backtests (204)
View More0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
0Parameters
1Security Types
0Sortino Ratio
108Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
0Parameters
1Security Types
0Sortino Ratio
108Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
2Parameters
1Security Types
0Sortino Ratio
126Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
165.453Net Profit
32.312PSR
0.896Sharpe Ratio
0.152Alpha
0.005Beta
15.562CAR
30.4Drawdown
0Loss Rate
2Parameters
1Security Types
0Sortino Ratio
2464Tradeable Dates
1Trades
28.923Treynor Ratio
0Win Rate
165.453Net Profit
32.312PSR
0.896Sharpe Ratio
0.152Alpha
0.005Beta
15.562CAR
30.4Drawdown
0Loss Rate
2Parameters
1Security Types
0Sortino Ratio
2464Tradeable Dates
1Trades
28.923Treynor Ratio
0Win Rate
Community
View MoreJack submitted the research Idea Streams #4 - Nowcasting News Announcements of Vaccine Trials
Abstract
In this episode of Idea Streams, the focus is on nowcasting news announcements of vaccine trials by biotech companies. Nowcasting involves using unstructured or semi-structured data to make short-term predictions, providing an advantage during times of crisis. The hypothesis is that the stock prices of biotech companies involved in coronavirus therapies will rise following positive news releases. The four steps to implementing a nowcasting strategy are explained, including identifying a cause-effect mechanism, developing an investment strategy, evaluating performance, and replacing perfect knowledge with nowcasted estimates. Various biotech companies involved in developing coronavirus vaccines and treatments are selected for initial testing of the cause-effect theory.
Jack submitted the research Idea Streams #5 - Tail Risk Hedging
Abstract
In this episode of Idea Streams, the debate on tail risk hedging is explored. Tail risk events, such as market crashes, have led to discussions on whether hedging against them is beneficial. Nassim Nicholas Taleb argues that a hedge is valuable during extreme times, while Cliff Asness believes that the cost of hedging outweighs its benefits in the long term. To understand both sides, a tail risk strategy is implemented, involving buying SPY and hedging with OTM put options. Backtests are conducted with different allocations to SPY and put options to analyze the cost-benefit. The results provide insights into the effectiveness of tail risk hedging.
Jack left a comment in the discussion Issues with Lean Build on Visual Studio 2019
Hi Abhishek,
Jack left a comment in the discussion Sample trade to place Buy/Sell Order on Forex With TakeProfit and StopLoss
Hi Kiran,
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
0Parameters
1Security Types
0Sortino Ratio
108Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
0Parameters
1Security Types
0Sortino Ratio
108Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
2Parameters
1Security Types
0Sortino Ratio
126Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
165.453Net Profit
32.312PSR
0.896Sharpe Ratio
0.152Alpha
0.005Beta
15.562CAR
30.4Drawdown
0Loss Rate
2Parameters
1Security Types
0Sortino Ratio
2464Tradeable Dates
1Trades
28.923Treynor Ratio
0Win Rate
165.453Net Profit
32.312PSR
0.896Sharpe Ratio
0.152Alpha
0.005Beta
15.562CAR
30.4Drawdown
0Loss Rate
2Parameters
1Security Types
0Sortino Ratio
2464Tradeable Dates
1Trades
28.923Treynor Ratio
0Win Rate
161.875Net Profit
32.43PSR
0.909Sharpe Ratio
0.058Alpha
0.2Beta
7.441CAR
21.7Drawdown
88Loss Rate
9Parameters
2Security Types
0.409Sortino Ratio
3373Tradeable Dates
53Trades
0.393Treynor Ratio
12Win Rate
159.83Net Profit
26.873PSR
0.861Sharpe Ratio
0.047Alpha
0.307Beta
7.379CAR
23.9Drawdown
0Loss Rate
9Parameters
1Security Types
0Sortino Ratio
3373Tradeable Dates
2Trades
0.256Treynor Ratio
0Win Rate
9Parameters
0Security Types
2768Tradeable Dates
9Parameters
0Security Types
2768Tradeable Dates
9Parameters
0Security Types
2768Tradeable Dates
88.819Net Profit
3.886PSR
0.53Sharpe Ratio
0.008Alpha
0.442Beta
4.853CAR
31Drawdown
88Loss Rate
9Parameters
2Security Types
0.3431Sortino Ratio
3373Tradeable Dates
52Trades
0.123Treynor Ratio
12Win Rate
88.471Net Profit
2.66PSR
0.478Sharpe Ratio
-0.002Alpha
0.553Beta
4.839CAR
33.6Drawdown
0Loss Rate
9Parameters
1Security Types
0Sortino Ratio
3373Tradeable Dates
1Trades
0.101Treynor Ratio
0Win Rate
8Parameters
0Security Types
2768Tradeable Dates
8Parameters
0Security Types
2768Tradeable Dates
6Parameters
0Security Types
756Tradeable Dates
65.099Net Profit
98.1PSR
10.616Sharpe Ratio
5.783Alpha
-0.005Beta
807.879CAR
10.2Drawdown
42Loss Rate
56Parameters
1Security Types
2.2484Sortino Ratio
0Tradeable Dates
24Trades
-1244.382Treynor Ratio
58Win Rate
1Parameters
0Security Types
0Tradeable Dates
-30.509Net Profit
0.051PSR
-0.297Sharpe Ratio
-0.072Alpha
0.243Beta
-5.569CAR
43.5Drawdown
70Loss Rate
3Parameters
1Security Types
-0.0234Sortino Ratio
1598Tradeable Dates
7191Trades
-0.185Treynor Ratio
30Win Rate
204.419Net Profit
81.571PSR
1.497Sharpe Ratio
0Alpha
0Beta
24.771CAR
13.6Drawdown
57Loss Rate
57Parameters
1Security Types
0.028Sortino Ratio
0Tradeable Dates
54041Trades
0Treynor Ratio
43Win Rate
203.968Net Profit
81.38PSR
1.493Sharpe Ratio
0Alpha
0Beta
24.735CAR
13.7Drawdown
58Loss Rate
69Parameters
1Security Types
0.028Sortino Ratio
0Tradeable Dates
53996Trades
0Treynor Ratio
42Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
0Parameters
1Security Types
0Sortino Ratio
0Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
44.548Net Profit
12.796PSR
0.588Sharpe Ratio
0.056Alpha
-0.028Beta
7.424CAR
11.7Drawdown
50Loss Rate
25Parameters
2Security Types
0.0341Sortino Ratio
1293Tradeable Dates
21772Trades
-1.882Treynor Ratio
50Win Rate
9.835Net Profit
83.152PSR
2.672Sharpe Ratio
0.001Alpha
0.989Beta
27.774CAR
4.9Drawdown
0Loss Rate
1Parameters
1Security Types
0Sortino Ratio
97Tradeable Dates
1Trades
0.247Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
0Parameters
1Security Types
0Sortino Ratio
263Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
87.006Net Profit
43.798PSR
0.937Sharpe Ratio
0.106Alpha
0.027Beta
13.267CAR
21.2Drawdown
47Loss Rate
7Parameters
2Security Types
0.1561Sortino Ratio
0Tradeable Dates
1143Trades
4.1Treynor Ratio
53Win Rate
7.126Net Profit
40.699PSR
0.772Sharpe Ratio
0.078Alpha
-0.058Beta
7.764CAR
6.5Drawdown
59Loss Rate
37Parameters
1Security Types
0.0638Sortino Ratio
233Tradeable Dates
1267Trades
-1.112Treynor Ratio
41Win Rate
5.896Net Profit
41.114PSR
0.782Sharpe Ratio
0.065Alpha
-0.036Beta
6.774CAR
7.3Drawdown
63Loss Rate
37Parameters
1Security Types
0.0739Sortino Ratio
222Tradeable Dates
1142Trades
-1.564Treynor Ratio
37Win Rate
46.673Net Profit
61.856PSR
1.272Sharpe Ratio
0.39Alpha
0.098Beta
55.431CAR
20.1Drawdown
43Loss Rate
15Parameters
1Security Types
0.1141Sortino Ratio
220Tradeable Dates
754Trades
4.204Treynor Ratio
57Win Rate
40.017Net Profit
51.13PSR
1.025Sharpe Ratio
0.328Alpha
0.253Beta
47.339CAR
19.5Drawdown
42Loss Rate
15Parameters
1Security Types
0.0975Sortino Ratio
220Tradeable Dates
895Trades
1.517Treynor Ratio
58Win Rate
1.456Net Profit
9.028PSR
0.113Sharpe Ratio
0.011Alpha
0.019Beta
0.778CAR
21.8Drawdown
68Loss Rate
17Parameters
2Security Types
0.0062Sortino Ratio
682Tradeable Dates
4245Trades
0.629Treynor Ratio
32Win Rate
Jack submitted the research Idea Streams #4 - Nowcasting News Announcements of Vaccine Trials
Abstract
In this episode of Idea Streams, the focus is on nowcasting news announcements of vaccine trials by biotech companies. Nowcasting involves using unstructured or semi-structured data to make short-term predictions, providing an advantage during times of crisis. The hypothesis is that the stock prices of biotech companies involved in coronavirus therapies will rise following positive news releases. The four steps to implementing a nowcasting strategy are explained, including identifying a cause-effect mechanism, developing an investment strategy, evaluating performance, and replacing perfect knowledge with nowcasted estimates. Various biotech companies involved in developing coronavirus vaccines and treatments are selected for initial testing of the cause-effect theory.
Jack submitted the research Idea Streams #5 - Tail Risk Hedging
Abstract
In this episode of Idea Streams, the debate on tail risk hedging is explored. Tail risk events, such as market crashes, have led to discussions on whether hedging against them is beneficial. Nassim Nicholas Taleb argues that a hedge is valuable during extreme times, while Cliff Asness believes that the cost of hedging outweighs its benefits in the long term. To understand both sides, a tail risk strategy is implemented, involving buying SPY and hedging with OTM put options. Backtests are conducted with different allocations to SPY and put options to analyze the cost-benefit. The results provide insights into the effectiveness of tail risk hedging.
Jack left a comment in the discussion Charting Missing - backtesting-desktop
Hi Henno,
Jack left a comment in the discussion Issues with Lean Build on Visual Studio 2019
Hi Abhishek,
Jack left a comment in the discussion Sample trade to place Buy/Sell Order on Forex With TakeProfit and StopLoss
Hi Kiran,
Jack left a comment in the discussion Noob: Scheduling Event Error
Hi Michael,
Jack left a comment in the discussion Accessing Strike Price on Options Reseasrch Notebook
Hey Welly,
Jack left a comment in the discussion Signed Volume (Order Flow)
Hi John,Unfortunately, there is no direct method to get the entire Bid or Ask volume for a give...
Jack submitted the research Mean Reversion Statistical Arbitrage Strategy In Stocks
Abstract
This tutorial discusses a mean reversion statistical arbitrage strategy in stocks based on principal component analysis (PCA). The strategy aims to take advantage of pricing inefficiencies between correlated securities. The algorithm uses a PCA-based approach to select a universe of stocks and rebalances the portfolio every 30 days. Backtests from 1997-2007 show that PCA-based strategies outperform ETF-based strategies in terms of Sharpe ratios. The results of the algorithm from Jan 2010 to Aug 2019 indicate an annual rate of return over 6% with a max drawdown of around 49% for nearly 10 years. The performance suggests that using PCA combined with linear regression to measure deviation is reasonable, and there are potential ways to further improve the strategy.
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Jack left a comment in the discussion Charting Missing - backtesting-desktop
Hi Henno,
4 years ago