Joshua Tsai
Quant
Date Joined
25th October, 2020
Bootcamp progress
15% Complete
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Algorithm Sharing
Share an algorithm with the community by making your algorithm public.
2020-11-04 18:33:36
Backtester
Run at least 100 backtests on QuantConnect's cloud.
2020-11-04 10:31:45
Python Programming
Choose Python as your preferred programming language.
2020-10-25 18:26:30
Boot Camp Private
Complete a beginner bootcamp in the algorithm lab.
2020-11-03 20:03:36
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Activity on QuantConnect
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Public Backtests (2)
View More1730.36Net Profit
60.724PSR
1.225Sharpe Ratio
0.298Alpha
-0.073Beta
25.372CAR
40.4Drawdown
31Loss Rate
39Parameters
1Security Types
0.8185Sortino Ratio
3237Tradeable Dates
202Trades
-3.963Treynor Ratio
69Win Rate
1721.64Net Profit
49.04PSR
1.129Sharpe Ratio
0.3Alpha
-0.103Beta
30.662CAR
52.6Drawdown
38Loss Rate
4Parameters
1Security Types
1.4807Sortino Ratio
2731Tradeable Dates
255Trades
-2.795Treynor Ratio
62Win Rate
Community
View MoreJoshua left a comment in the discussion The In & Out Strategy - Continued from Quantopian
While returns drop significantly if you change parameters, the PSR remains quite high even if I...
Joshua left a comment in the discussion The In & Out Strategy - Continued from Quantopian
Guy Fleury Would you give the max drawdown? The current Sharpe stands at 1.85ish, so it seems like...
Joshua left a comment in the discussion The In & Out Strategy - Continued from Quantopian
One thing I'd like to note is that in real life, you can't always find correlations in assets that...
Joshua left a comment in the discussion Amazing returns = superior stock selection strategy + superior in & out strategy
Using TIPs we achieve similar returns, but the Sharpe is much worse.
1730.36Net Profit
60.724PSR
1.225Sharpe Ratio
0.298Alpha
-0.073Beta
25.372CAR
40.4Drawdown
31Loss Rate
39Parameters
1Security Types
0.8185Sortino Ratio
3237Tradeable Dates
202Trades
-3.963Treynor Ratio
69Win Rate
1721.64Net Profit
49.04PSR
1.129Sharpe Ratio
0.3Alpha
-0.103Beta
30.662CAR
52.6Drawdown
38Loss Rate
4Parameters
1Security Types
1.4807Sortino Ratio
2731Tradeable Dates
255Trades
-2.795Treynor Ratio
62Win Rate
Joshua left a comment in the discussion Dump the Pump
Interesting, and I assume you don't have to worry about liquidity too much since you buy before the...
Joshua left a comment in the discussion The In & Out Strategy - Continued from Quantopian
While returns drop significantly if you change parameters, the PSR remains quite high even if I...
Joshua left a comment in the discussion The In & Out Strategy - Continued from Quantopian
Guy Fleury Would you give the max drawdown? The current Sharpe stands at 1.85ish, so it seems like...
Joshua left a comment in the discussion The In & Out Strategy - Continued from Quantopian
One thing I'd like to note is that in real life, you can't always find correlations in assets that...
Joshua left a comment in the discussion Amazing returns = superior stock selection strategy + superior in & out strategy
Using TIPs we achieve similar returns, but the Sharpe is much worse.
Joshua left a comment in the discussion Amazing returns = superior stock selection strategy + superior in & out strategy
You can use TIPS instead of bonds (to slightly reduce returns, but it's widely applicable). Then...
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Joshua left a comment in the discussion Dump the Pump
Interesting, and I assume you don't have to worry about liquidity too much since you buy before the...
3 years ago