JayJayD
Quant
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25th January, 2015
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2019-11-27 13:21:39
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Public Backtests (228)
View More1.302Net Profit
57.489PSR
1.366Sharpe Ratio
0.059Alpha
-0.036Beta
5.263CAR
1.3Drawdown
0Loss Rate
1Parameters
0Security Types
2.471Sortino Ratio
64Tradeable Dates
2Trades
-1.193Treynor Ratio
0Win Rate
-8.257Net Profit
1.225PSR
-0.635Sharpe Ratio
-0.042Alpha
0.005Beta
-5.288CAR
12.6Drawdown
0Loss Rate
1Parameters
0Security Types
-1.192Sortino Ratio
399Tradeable Dates
2Trades
-7.645Treynor Ratio
0Win Rate
-9.702Net Profit
0PSR
-0.362Sharpe Ratio
-0.008Alpha
0.003Beta
-0.914CAR
13.9Drawdown
100Loss Rate
2Parameters
1Security Types
0Sortino Ratio
2796Tradeable Dates
2Trades
-2.335Treynor Ratio
0Win Rate
1.911Net Profit
58.643PSR
1.539Sharpe Ratio
0.091Alpha
-0.023Beta
11.786CAR
1.9Drawdown
0Loss Rate
1Parameters
0Security Types
3.06Sortino Ratio
43Tradeable Dates
2Trades
-4.321Treynor Ratio
0Win Rate
51.718Net Profit
0.655PSR
0.502Sharpe Ratio
0.018Alpha
-0.014Beta
1.866CAR
12.5Drawdown
0Loss Rate
1Parameters
1Security Types
0Sortino Ratio
5669Tradeable Dates
1Trades
-1.173Treynor Ratio
0Win Rate
Community
View MoreJayJayD left a comment in the discussion TQQQ, Minute The issue starts from Jan 21st, 2021; and continues until Feb 1st, 2021
Can you please attach a backatest showing the issue?Thanks in advance.
JayJayD left a comment in the discussion TVIX, Minute The issue starts from Dec 21st, 2012; and continues until Aug 30th, 2013
Fixed!
JayJayD left a comment in the discussion EWA, Minute The issue starts from Apr 20th, 2007; and continues until Apr 25th, 2007
Duplicated issue.
JayJayD left a comment in the discussion VXX, Minute The issue starts at the start of the data; and continues until May 1st, 2019 09:30 AM
If you want to access to the old VXX, you should use
1.302Net Profit
57.489PSR
1.366Sharpe Ratio
0.059Alpha
-0.036Beta
5.263CAR
1.3Drawdown
0Loss Rate
1Parameters
0Security Types
2.471Sortino Ratio
64Tradeable Dates
2Trades
-1.193Treynor Ratio
0Win Rate
-8.257Net Profit
1.225PSR
-0.635Sharpe Ratio
-0.042Alpha
0.005Beta
-5.288CAR
12.6Drawdown
0Loss Rate
1Parameters
0Security Types
-1.192Sortino Ratio
399Tradeable Dates
2Trades
-7.645Treynor Ratio
0Win Rate
-9.702Net Profit
0PSR
-0.362Sharpe Ratio
-0.008Alpha
0.003Beta
-0.914CAR
13.9Drawdown
100Loss Rate
2Parameters
1Security Types
0Sortino Ratio
2796Tradeable Dates
2Trades
-2.335Treynor Ratio
0Win Rate
1.911Net Profit
58.643PSR
1.539Sharpe Ratio
0.091Alpha
-0.023Beta
11.786CAR
1.9Drawdown
0Loss Rate
1Parameters
0Security Types
3.06Sortino Ratio
43Tradeable Dates
2Trades
-4.321Treynor Ratio
0Win Rate
51.718Net Profit
0.655PSR
0.502Sharpe Ratio
0.018Alpha
-0.014Beta
1.866CAR
12.5Drawdown
0Loss Rate
1Parameters
1Security Types
0Sortino Ratio
5669Tradeable Dates
1Trades
-1.173Treynor Ratio
0Win Rate
-1.008Net Profit
0PSR
-0.019Sharpe Ratio
0Alpha
0Beta
-0.045CAR
5.3Drawdown
100Loss Rate
2Parameters
1Security Types
0Sortino Ratio
5669Tradeable Dates
2Trades
1.914Treynor Ratio
0Win Rate
14.13Net Profit
87.054PSR
3.07Sharpe Ratio
0.301Alpha
-0.001Beta
37.057CAR
5.3Drawdown
0Loss Rate
1Parameters
0Security Types
4.482Sortino Ratio
106Tradeable Dates
2Trades
-369.765Treynor Ratio
0Win Rate
75.687Net Profit
19.409PSR
0.645Sharpe Ratio
0.186Alpha
-0.045Beta
16.551CAR
36.2Drawdown
-0.55Loss Rate
17Parameters
0Security Types
0.836Sortino Ratio
926Tradeable Dates
163Trades
-3.984Treynor Ratio
1.88Win Rate
0.343Net Profit
49.466PSR
0.974Sharpe Ratio
-0.06Alpha
0.178Beta
6.226CAR
1.3Drawdown
0Loss Rate
1Parameters
0Security Types
2.171Sortino Ratio
14Tradeable Dates
2Trades
0.37Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
0Parameters
1Security Types
0Sortino Ratio
0Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
-0.332Net Profit
26.48PSR
-0.136Sharpe Ratio
-0.041Alpha
0.075Beta
-1.31CAR
2.5Drawdown
0Loss Rate
1Parameters
0Security Types
-0.267Sortino Ratio
64Tradeable Dates
2Trades
-0.116Treynor Ratio
0Win Rate
0.058Net Profit
92.949PSR
4.212Sharpe Ratio
0.003Alpha
0Beta
0.34CAR
0Drawdown
0Loss Rate
1Parameters
0Security Types
6.163Sortino Ratio
42Tradeable Dates
2Trades
11.648Treynor Ratio
0.06Win Rate
0.026Net Profit
55.192PSR
1.303Sharpe Ratio
0.001Alpha
0.001Beta
0.154CAR
0Drawdown
0Loss Rate
1Parameters
0Security Types
1.492Sortino Ratio
42Tradeable Dates
2Trades
1.342Treynor Ratio
0.03Win Rate
1.654Net Profit
41.758PSR
0.567Sharpe Ratio
0.09Alpha
0.065Beta
9.971CAR
7.9Drawdown
0Loss Rate
1Parameters
0Security Types
0.954Sortino Ratio
42Tradeable Dates
2Trades
1.556Treynor Ratio
0Win Rate
-0.449Net Profit
16.434PSR
-1.162Sharpe Ratio
-0.02Alpha
-0.008Beta
-2.658CAR
1.3Drawdown
0Loss Rate
1Parameters
0Security Types
-2.04Sortino Ratio
44Tradeable Dates
2Trades
2.559Treynor Ratio
0Win Rate
-8.354Net Profit
0.636PSR
-0.706Sharpe Ratio
-0.038Alpha
-0.013Beta
-4.841CAR
10.7Drawdown
0Loss Rate
1Parameters
0Security Types
-0.76Sortino Ratio
442Tradeable Dates
2Trades
2.887Treynor Ratio
0Win Rate
2.75Net Profit
38.685PSR
0.737Sharpe Ratio
0.012Alpha
0.059Beta
2.522CAR
5.4Drawdown
0Loss Rate
2Parameters
0Security Types
0.682Sortino Ratio
273Tradeable Dates
2Trades
0.443Treynor Ratio
2.75Win Rate
2.781Net Profit
43.387PSR
0.851Sharpe Ratio
0.011Alpha
0.064Beta
2.55CAR
5.8Drawdown
0Loss Rate
2Parameters
0Security Types
0.817Sortino Ratio
273Tradeable Dates
2Trades
0.41Treynor Ratio
2.78Win Rate
3.582Net Profit
45.656PSR
0.912Sharpe Ratio
0.029Alpha
0.02Beta
3.283CAR
2.3Drawdown
0Loss Rate
1Parameters
0Security Types
0.951Sortino Ratio
273Tradeable Dates
2Trades
1.698Treynor Ratio
0Win Rate
11.429Net Profit
94.387PSR
2.473Sharpe Ratio
0.101Alpha
0.022Beta
10.442CAR
2.4Drawdown
0Loss Rate
1Parameters
0Security Types
3.023Sortino Ratio
273Tradeable Dates
2Trades
4.799Treynor Ratio
0Win Rate
-6.337Net Profit
0.041PSR
-0.795Sharpe Ratio
-0.018Alpha
-0.012Beta
-2.497CAR
8.3Drawdown
0Loss Rate
1Parameters
0Security Types
-1.052Sortino Ratio
652Tradeable Dates
2Trades
1.615Treynor Ratio
0Win Rate
-0.073Net Profit
20.881PSR
-0.015Sharpe Ratio
0.002Alpha
-0.006Beta
-0.125CAR
3.4Drawdown
-0.07Loss Rate
1Parameters
0Security Types
-0.033Sortino Ratio
150Tradeable Dates
2Trades
0.081Treynor Ratio
0Win Rate
0.955Net Profit
67.58PSR
1.861Sharpe Ratio
0.035Alpha
-0.008Beta
3.84CAR
0.8Drawdown
0Loss Rate
1Parameters
0Security Types
2.951Sortino Ratio
64Tradeable Dates
2Trades
-3.937Treynor Ratio
0Win Rate
2.235Net Profit
2.356PSR
0.243Sharpe Ratio
0.004Alpha
-0.002Beta
0.369CAR
2.3Drawdown
0Loss Rate
2Parameters
0Security Types
0.192Sortino Ratio
1510Tradeable Dates
2Trades
-1.7Treynor Ratio
2.23Win Rate
2.427Net Profit
1.069PSR
0.103Sharpe Ratio
0.004Alpha
0.009Beta
0.4CAR
13.7Drawdown
0Loss Rate
1Parameters
0Security Types
0.075Sortino Ratio
1510Tradeable Dates
2Trades
0.546Treynor Ratio
0Win Rate
-1.321Net Profit
10.803PSR
-0.122Sharpe Ratio
-0.016Alpha
0.03Beta
-1.321CAR
9.2Drawdown
0Loss Rate
1Parameters
0Security Types
-0.238Sortino Ratio
252Tradeable Dates
2Trades
-0.285Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
0Parameters
1Security Types
7.9228162514264E+28Sortino Ratio
0Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
26.543Net Profit
37.972PSR
0.818Sharpe Ratio
0.304Alpha
-0.251Beta
23.635CAR
34.2Drawdown
0Loss Rate
1Parameters
1Security Types
0Sortino Ratio
278Tradeable Dates
1Trades
-0.991Treynor Ratio
0Win Rate
3.332Net Profit
77.534PSR
2.884Sharpe Ratio
0.157Alpha
0.001Beta
18.636CAR
1.6Drawdown
0Loss Rate
1Parameters
1Security Types
0Sortino Ratio
47Tradeable Dates
1Trades
191.833Treynor Ratio
0Win Rate
1.56Net Profit
68.619PSR
1.795Sharpe Ratio
0.043Alpha
-0.013Beta
4.661CAR
0.9Drawdown
0Loss Rate
1Parameters
0Security Types
2.889Sortino Ratio
84Tradeable Dates
2Trades
-2.974Treynor Ratio
0Win Rate
JayJayD left a comment in the discussion DD, Daily The issue starts from Jun 1st, 2019; and continues until now
Thank you very much Karthik Kailash for reporting this issue. The missing split was included in our...
JayJayD left a comment in the discussion TQQQ, Minute The issue starts from Jan 21st, 2021; and continues until Feb 1st, 2021
Can you please attach a backatest showing the issue?Thanks in advance.
JayJayD left a comment in the discussion TVIX, Minute The issue starts from Dec 21st, 2012; and continues until Aug 30th, 2013
Fixed!
JayJayD left a comment in the discussion EWA, Minute The issue starts from Apr 20th, 2007; and continues until Apr 25th, 2007
Duplicated issue.
JayJayD left a comment in the discussion VXX, Minute The issue starts at the start of the data; and continues until May 1st, 2019 09:30 AM
If you want to access to the old VXX, you should use
JayJayD left a comment in the discussion MELI, Daily The issue starts from Jul 13th, 2020; and continues until Jul 13th, 2020
James Dunning, I'll close this issue, but if you still think there is a data issue here and can...
JayJayD started the discussion Morningstar Asset Classification Data Available
We're proud to announce that we now support Morningstar Sector, Industry Group, and Industry codes!...
JayJayD started the discussion VIX Future Data Available!
Hey there Community!
JayJayD started the discussion Forex Risk Manager implementation
This forex risk manager is based in the work made by @Deval Keralia in this post. I even copied its...
JayJayD started the discussion About test algorithm that relies on QCAlgorithm
Hi there!
JayJayD started the discussion Hull Moving Average
or you always return to your first love
JayJayD started the discussion MAE and MFE in forex
I need some help understanding MAE and MFE in forex.
JayJayD started the discussion Weekly universe selection + Trade bar indicator filter
The idea is to call the universe selection once per week and filter the stocks using MFIThe...
JayJayD started the discussion Intraday Buy Low
Hi there Folks!
JayJayD started the discussion Open market hours
Hi there folks, I need some help with the market hours.
JayJayD started the discussion How the backtest ranking is calculated?
Or: Is the ranking a reliable indicator of the algorithm's performance?
JayJayD started the discussion Trailing Orders
Hi folks,
JayJayD started the discussion Update a rolling window inside a class without using an instantiated QC Algorithm object
Hi folks!
JayJayD started the discussion OnOrderEvent method and locking
Hi there folks!
JayJayD started the discussion Momersion Indicator
Hi gang,
JayJayD started the discussion Future leak question
After reading this answer in Quora. I realized that I always use close price in the OnData mehotd.
JayJayD started the discussion Analyzing the backtests results issue
Hey Folks:
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JayJayD left a comment in the discussion DD, Daily The issue starts from Jun 1st, 2019; and continues until now
Thank you very much Karthik Kailash for reporting this issue. The missing split was included in our...
3 years ago