LukeI
Quant
Date Joined
13th December, 2015
Bootcamp progress
11% Complete
Achievements
Algorithm Sharing
Share an algorithm with the community by making your algorithm public.
2018-09-11 17:28:00
Backtester
Run at least 100 backtests on QuantConnect's cloud.
2018-02-07 04:24:36
Live Trading
Deploy a live trading algorithm using one of QuantConnect's supported brokerages.
2018-03-30 23:31:30
Cloner
Clone at least 100 algorithms from the community.
2021-09-21 13:43:08
Python Programming
Choose Python as your preferred programming language.
2019-06-26 03:49:28
Popular
Receive at least 10 upvotes from different users in the community.
2018-02-09 00:50:09
Boot Camp Private
Complete a beginner bootcamp in the algorithm lab.
2019-10-26 13:17:39
Alpha Streams Developer
Have at least 1 Alpha Stream submission approved.
2019-05-21 18:04:53
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Activity on QuantConnect
We are pioneering the radical future for open-source quant finance. QuantConnect is the world's largest quant community, empowering 220,000 quants with a framework, data, and infrastructure for their investments.
Public Backtests (15)
View More4.609Net Profit
40.423PSR
0.66Sharpe Ratio
-0.294Alpha
0.761Beta
11.835CAR
12.3Drawdown
40Loss Rate
265Parameters
1Security Types
0.0487Sortino Ratio
104Tradeable Dates
345Trades
0.185Treynor Ratio
60Win Rate
243.464Net Profit
1.395Sharpe Ratio
0.077Alpha
2.106Beta
12.266CAR
13Drawdown
40Loss Rate
1Security Types
0.1290079921063Sortino Ratio
0Tradeable Dates
2381Trades
0.057Treynor Ratio
60Win Rate
218.398Net Profit
1.045Sharpe Ratio
0.014Alpha
5.015Beta
11.471CAR
20.5Drawdown
39Loss Rate
1Security Types
0.28134539791252Sortino Ratio
0Tradeable Dates
701Trades
0.023Treynor Ratio
61Win Rate
280.311Net Profit
0.979Sharpe Ratio
0.043Alpha
4.61Beta
13.344CAR
24.7Drawdown
36Loss Rate
1Security Types
0.028597079430338Sortino Ratio
0Tradeable Dates
730Trades
0.029Treynor Ratio
64Win Rate
243.464Net Profit
1.395Sharpe Ratio
0.077Alpha
2.106Beta
12.266CAR
13Drawdown
40Loss Rate
1Security Types
0.1290079921063Sortino Ratio
0Tradeable Dates
2381Trades
0.057Treynor Ratio
60Win Rate
Community
View MoreLukeI started the discussion IB starting to force 2FA?
I received this email from IB, anyone know if this will impact live trading on QC?
LukeI left a comment in the discussion Running multiple algorithms on single account
It's nothing special really, it just takes the insights that dictate each allocation from each...
LukeI started the discussion How to track separate alphas returns in a live algorithm independent of holdings?
Hello,
LukeI started the discussion How to tell if live/paper trading results match historical performance?
As the title says, I'm paper trading my strategy as a way to see if the performance in the backtest...
4.609Net Profit
40.423PSR
0.66Sharpe Ratio
-0.294Alpha
0.761Beta
11.835CAR
12.3Drawdown
40Loss Rate
265Parameters
1Security Types
0.0487Sortino Ratio
104Tradeable Dates
345Trades
0.185Treynor Ratio
60Win Rate
243.464Net Profit
1.395Sharpe Ratio
0.077Alpha
2.106Beta
12.266CAR
13Drawdown
40Loss Rate
1Security Types
0.1290079921063Sortino Ratio
0Tradeable Dates
2381Trades
0.057Treynor Ratio
60Win Rate
218.398Net Profit
1.045Sharpe Ratio
0.014Alpha
5.015Beta
11.471CAR
20.5Drawdown
39Loss Rate
1Security Types
0.28134539791252Sortino Ratio
0Tradeable Dates
701Trades
0.023Treynor Ratio
61Win Rate
280.311Net Profit
0.979Sharpe Ratio
0.043Alpha
4.61Beta
13.344CAR
24.7Drawdown
36Loss Rate
1Security Types
0.028597079430338Sortino Ratio
0Tradeable Dates
730Trades
0.029Treynor Ratio
64Win Rate
243.464Net Profit
1.395Sharpe Ratio
0.077Alpha
2.106Beta
12.266CAR
13Drawdown
40Loss Rate
1Security Types
0.1290079921063Sortino Ratio
0Tradeable Dates
2381Trades
0.057Treynor Ratio
60Win Rate
330.54Net Profit
1.079Sharpe Ratio
0.16Alpha
-0.705Beta
14.67CAR
18Drawdown
43Loss Rate
1Security Types
0.12157299550985Sortino Ratio
0Tradeable Dates
2495Trades
-0.207Treynor Ratio
57Win Rate
190.876Net Profit
1.34Sharpe Ratio
0.063Alpha
2.004Beta
10.53CAR
17.1Drawdown
41Loss Rate
1Security Types
0.12342144442021Sortino Ratio
0Tradeable Dates
1557Trades
0.051Treynor Ratio
59Win Rate
192.986Net Profit
1.141Sharpe Ratio
0.027Alpha
3.893Beta
10.605CAR
24.4Drawdown
40Loss Rate
1Security Types
0.077884628341441Sortino Ratio
0Tradeable Dates
1829Trades
0.027Treynor Ratio
60Win Rate
214.873Net Profit
1.268Sharpe Ratio
0.07Alpha
2.07Beta
11.355CAR
17.8Drawdown
40Loss Rate
1Security Types
0.092842040123672Sortino Ratio
0Tradeable Dates
1756Trades
0.054Treynor Ratio
60Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
0Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
238.641Net Profit
0.797Sharpe Ratio
0.08Alpha
0.006Beta
10.573CAR
16.3Drawdown
45Loss Rate
1Security Types
0.10411371025183Sortino Ratio
2800Tradeable Dates
1693Trades
12.795Treynor Ratio
55Win Rate
5.397Net Profit
12.762Sharpe Ratio
0.474Alpha
0.002Beta
85.691CAR
0.5Drawdown
11Loss Rate
1Security Types
0.64690960612445Sortino Ratio
22Tradeable Dates
255Trades
255.228Treynor Ratio
89Win Rate
1.331Net Profit
22.43Sharpe Ratio
0.734Alpha
0.127Beta
181.188CAR
0.1Drawdown
33Loss Rate
1Security Types
0Sortino Ratio
3Tradeable Dates
12Trades
6.548Treynor Ratio
67Win Rate
1.011Net Profit
16.803Sharpe Ratio
0.404Alpha
0.293Beta
119.637CAR
0.8Drawdown
100Loss Rate
1Security Types
0Sortino Ratio
3Tradeable Dates
4Trades
2.168Treynor Ratio
0Win Rate
0Tradeable Dates
LukeI started the discussion IB starting to force 2FA?
I received this email from IB, anyone know if this will impact live trading on QC?
LukeI left a comment in the discussion Continuous Futures Support
Can anyone help a noob with creating an algorithm to purchase VIX continuous futures? When I tried...
LukeI left a comment in the discussion Running multiple algorithms on single account
It's nothing special really, it just takes the insights that dictate each allocation from each...
LukeI started the discussion How to track separate alphas returns in a live algorithm independent of holdings?
Hello,
LukeI started the discussion How to tell if live/paper trading results match historical performance?
As the title says, I'm paper trading my strategy as a way to see if the performance in the backtest...
LukeI left a comment in the discussion Has anyone made real money yet?
Please don't think it's even remotely possible to achive 3-5% per day reliably under any...
LukeI left a comment in the discussion Live Trading for Multiple Algorithms
This feature already exists IMO. You can have multiple alphas in a framework algorithm that all...
LukeI left a comment in the discussion Passing variables through Algorithm Framework
Once you "return insights" your algorithm is done with the update function and it doesn't go on to...
LukeI left a comment in the discussion Algorithm Framework Module - Portfolio Construction Model With Custom Optimizer
Thanks for this excellent peice of code, I'm very interested in adopting it.
LukeI started the discussion Need help with indicator on 15m consolidated timeframe
Trying to use a 20 period ATR on 15m tradebars, keep getting the error:
LukeI started the discussion [Python] How to get portfolio and stock data into classes that are in other files?
I'm currently porting over my algorithm from Quantopian and having some trouble. I use a...
LukeI started the discussion Dataframe .mean() problem
prices = self.data.History(self.data.var["stocks"], 10, Resolution.Minute) prices =...
LukeI started the discussion [Python] Question about portfolio and universes
Question 1: is there an easier way to get a list of stocks that I currently own than this:
LukeI started the discussion How to filter universe on split adjusted prices?
In my coarse universe I'm looking at all stocks within a certain price range, but when I buy...
LukeI started the discussion Paper Trading Log bug?
2017-09-27 15:55:00 :New Order Event: Time: 9/27/2017 3:55:00 PM OrderID: 50 Symbol: NAK Status:...
LukeI started the discussion Does data consolidation save memory? Data consolidation on Universe selection?
I am trying to optimize my data usage so I can get as long of a backtest as possible with as many...
LukeI started the discussion How do I get a percentile of dollarvolume universe?
I'm looking to get a result similar to quantopian
LukeI started the discussion Bug or intended? Universe selection doesn't occur until one trading day has passed.
My understanding is that universe selection occurs sometime after midnight on trading days. If...
LukeI started the discussion Runtime Error: Number overflow.
So I cloned the "RSI with Martingale Position Sizing" algorithm from the university, stripped out...
LukeI started the discussion Can't get OnBalanceVolume indicator working
I've tried several times to get the OnBalanceVolume indicator working, but it only shows 0's across...
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LukeI left a comment in the discussion Continuous Futures Support
Can anyone help a noob with creating an algorithm to purchase VIX continuous futures? When I tried...
2 years ago