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Public Backtests (9)

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FF3_FFPortfolio_NBER_MA_TLT_Minimum2ETFs_Graham7525rule_1.5Leverage

2009.266Net Profit

77.811PSR

1.286Sharpe Ratio

0.146Alpha

0.394Beta

17.475CAR

27.9Drawdown

-0.98Loss Rate

189Parameters

0Security Types

1.419Sortino Ratio

4764Tradeable Dates

2042Trades

0.476Treynor Ratio

1.15Win Rate

FF3_FFPortfolio_NBER_MA_TLT_Minimum2ETFs_Graham7525rule

691.908Net Profit

77.691PSR

1.248Sharpe Ratio

0.093Alpha

0.262Beta

11.551CAR

19.1Drawdown

-0.65Loss Rate

156Parameters

0Security Types

1.395Sortino Ratio

4764Tradeable Dates

2042Trades

0.462Treynor Ratio

0.77Win Rate

FF3_FFPortfolio_NBER_MA_TLT_Minimum2ETFs

1031.557Net Profit

57.925PSR

1.121Sharpe Ratio

0.119Alpha

0.256Beta

13.674CAR

25.1Drawdown

-0.86Loss Rate

131Parameters

0Security Types

1.276Sortino Ratio

4764Tradeable Dates

1548Trades

0.574Treynor Ratio

1.03Win Rate

FF3_FFPortfolio_NoSafeHaven_ForJacky

707.435Net Profit

4.024PSR

0.669Sharpe Ratio

0.119Alpha

-0.106Beta

11.665CAR

43.5Drawdown

-0.99Loss Rate

40Parameters

0Security Types

0.8Sortino Ratio

4764Tradeable Dates

1381Trades

-1.039Treynor Ratio

1.05Win Rate

Muscular Sky Blue Anguilline

335.468Net Profit

0.1PSR

0.415Sharpe Ratio

0.08Alpha

-0.089Beta

6.912CAR

55.1Drawdown

0Loss Rate

1Parameters

0Security Types

0.452Sortino Ratio

5536Tradeable Dates

1Trades

-0.826Treynor Ratio

0Win Rate


Community

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Jason started the discussion Problem: self.History not returning dataframe

def Initialize(self): etf_tickers =...

3 years ago

Jason started the discussion Backtest Statistics - Beta does not look right

Hi everyone,

3 years ago

Jason left a comment in the discussion Backtest Statistics - Beta does not look right

Hi Derek,

3 years ago

Jason left a comment in the discussion Problem: self.History not returning dataframe

Unfortunately, none of the above work.... Very weird.

3 years ago

FF3_FFPortfolio_NBER_MA_TLT_Minimum2ETFs_Graham7525rule_1.5Leverage

2009.266Net Profit

77.811PSR

1.286Sharpe Ratio

0.146Alpha

0.394Beta

17.475CAR

27.9Drawdown

-0.98Loss Rate

189Parameters

0Security Types

1.419Sortino Ratio

4764Tradeable Dates

2042Trades

0.476Treynor Ratio

1.15Win Rate

FF3_FFPortfolio_NBER_MA_TLT_Minimum2ETFs_Graham7525rule

691.908Net Profit

77.691PSR

1.248Sharpe Ratio

0.093Alpha

0.262Beta

11.551CAR

19.1Drawdown

-0.65Loss Rate

156Parameters

0Security Types

1.395Sortino Ratio

4764Tradeable Dates

2042Trades

0.462Treynor Ratio

0.77Win Rate

FF3_FFPortfolio_NBER_MA_TLT_Minimum2ETFs

1031.557Net Profit

57.925PSR

1.121Sharpe Ratio

0.119Alpha

0.256Beta

13.674CAR

25.1Drawdown

-0.86Loss Rate

131Parameters

0Security Types

1.276Sortino Ratio

4764Tradeable Dates

1548Trades

0.574Treynor Ratio

1.03Win Rate

FF3_FFPortfolio_NoSafeHaven_ForJacky

707.435Net Profit

4.024PSR

0.669Sharpe Ratio

0.119Alpha

-0.106Beta

11.665CAR

43.5Drawdown

-0.99Loss Rate

40Parameters

0Security Types

0.8Sortino Ratio

4764Tradeable Dates

1381Trades

-1.039Treynor Ratio

1.05Win Rate

Muscular Sky Blue Anguilline

335.468Net Profit

0.1PSR

0.415Sharpe Ratio

0.08Alpha

-0.089Beta

6.912CAR

55.1Drawdown

0Loss Rate

1Parameters

0Security Types

0.452Sortino Ratio

5536Tradeable Dates

1Trades

-0.826Treynor Ratio

0Win Rate

FF5_6ETF_GLD

744.24Net Profit

9.292PSR

0.762Sharpe Ratio

0.112Alpha

-0.033Beta

11.979CAR

34Drawdown

-0.83Loss Rate

0Parameters

0Security Types

0.999Sortino Ratio

4745Tradeable Dates

1118Trades

-3.272Treynor Ratio

0.93Win Rate

FF5_6ETF_TLT

587.682Net Profit

10.711PSR

0.775Sharpe Ratio

0.096Alpha

0.001Beta

10.768CAR

34Drawdown

-0.83Loss Rate

0Parameters

0Security Types

1.063Sortino Ratio

4745Tradeable Dates

1117Trades

116.662Treynor Ratio

0.92Win Rate

FF5_6ETF_NoSafeHaven_36mRollingAlpha

497.162Net Profit

2.886PSR

0.63Sharpe Ratio

0.101Alpha

-0.093Beta

9.941CAR

38.4Drawdown

-0.95Loss Rate

0Parameters

0Security Types

0.775Sortino Ratio

4745Tradeable Dates

1257Trades

-0.994Treynor Ratio

0.95Win Rate

FF3_FFPortfolio_NoSafeHaven

536.353Net Profit

3.549PSR

0.651Sharpe Ratio

0.104Alpha

-0.093Beta

10.269CAR

40.1Drawdown

-0.89Loss Rate

0Parameters

0Security Types

0.802Sortino Ratio

4764Tradeable Dates

1381Trades

-1.024Treynor Ratio

0.94Win Rate

Jason started the discussion Problem: self.History not returning dataframe

def Initialize(self): etf_tickers =...

3 years ago

Jason started the discussion Backtest Statistics - Beta does not look right

Hi everyone,

3 years ago

Jason left a comment in the discussion Backtest Statistics - Beta does not look right

Hi Derek,

3 years ago

Jason left a comment in the discussion Problem: self.History not returning dataframe

Unfortunately, none of the above work.... Very weird.

3 years ago