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60.36Net Profit
0PSR
0.229Sharpe Ratio
0.068Alpha
-0.151Beta
4.831CAR
9.7Drawdown
-0.16Loss Rate
0Parameters
0Security Types
1.435Sortino Ratio
2517Tradeable Dates
155Trades
-0.325Treynor Ratio
40.55Win Rate
78.813Net Profit
15.93PSR
0.684Sharpe Ratio
0.07Alpha
0.035Beta
8.321CAR
12.5Drawdown
19Loss Rate
10Parameters
1Security Types
0.331Sortino Ratio
1830Tradeable Dates
287Trades
2.109Treynor Ratio
81Win Rate
66.637Net Profit
9.744PSR
0.579Sharpe Ratio
0.062Alpha
0.035Beta
7.275CAR
18.5Drawdown
31Loss Rate
13Parameters
1Security Types
0.3214Sortino Ratio
1830Tradeable Dates
387Trades
1.886Treynor Ratio
69Win Rate
74.08Net Profit
38.387PSR
0.924Sharpe Ratio
0Alpha
0Beta
8.299CAR
17.4Drawdown
26Loss Rate
30Parameters
1Security Types
0.2048Sortino Ratio
0Tradeable Dates
661Trades
0Treynor Ratio
74Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Parameters
1Security Types
0Sortino Ratio
209Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
Mark started the discussion Requesting History for an Indicator built on Consolidated bars (WarmUp)
Hi all,
Mark started the discussion HELP: Standard Deviation Question, STD of Returns (Not Prices)
For each asset in my universe, I would like to calculate the STD of returns, over the last...
Mark started the discussion Rolling Window in SymbolData class with ensemble SMA Indicator
I am trying to implement a Rolling Window within the SymbolData class for an ensemble of SMA's.
Mark started the discussion Convert all to Base Currency with Interactive Brokers
Hi All,
Mark started the discussion Accounting for Deposits & Withdrawals in Backtests (and Live Trading)
Being able to build an algorithm and run a backtest using lean is fantastic!
60.36Net Profit
0PSR
0.229Sharpe Ratio
0.068Alpha
-0.151Beta
4.831CAR
9.7Drawdown
-0.16Loss Rate
0Parameters
0Security Types
1.435Sortino Ratio
2517Tradeable Dates
155Trades
-0.325Treynor Ratio
40.55Win Rate
78.813Net Profit
15.93PSR
0.684Sharpe Ratio
0.07Alpha
0.035Beta
8.321CAR
12.5Drawdown
19Loss Rate
10Parameters
1Security Types
0.331Sortino Ratio
1830Tradeable Dates
287Trades
2.109Treynor Ratio
81Win Rate
66.637Net Profit
9.744PSR
0.579Sharpe Ratio
0.062Alpha
0.035Beta
7.275CAR
18.5Drawdown
31Loss Rate
13Parameters
1Security Types
0.3214Sortino Ratio
1830Tradeable Dates
387Trades
1.886Treynor Ratio
69Win Rate
74.08Net Profit
38.387PSR
0.924Sharpe Ratio
0Alpha
0Beta
8.299CAR
17.4Drawdown
26Loss Rate
30Parameters
1Security Types
0.2048Sortino Ratio
0Tradeable Dates
661Trades
0Treynor Ratio
74Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Parameters
1Security Types
0Sortino Ratio
209Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
271.157Net Profit
5.851PSR
0.662Sharpe Ratio
0.081Alpha
-0.016Beta
8.748CAR
22.9Drawdown
25Loss Rate
3Parameters
1Security Types
0.2373Sortino Ratio
0Tradeable Dates
418Trades
-4.974Treynor Ratio
75Win Rate
267.126Net Profit
5.689PSR
0.658Sharpe Ratio
0.08Alpha
-0.016Beta
8.672CAR
23.1Drawdown
25Loss Rate
11Parameters
1Security Types
0.2261Sortino Ratio
0Tradeable Dates
449Trades
-5.003Treynor Ratio
75Win Rate
3Parameters
0Security Types
0Tradeable Dates
6Parameters
0Security Types
0Tradeable Dates
Mark started the discussion Requesting History for an Indicator built on Consolidated bars (WarmUp)
Hi all,
Mark started the discussion HELP: Standard Deviation Question, STD of Returns (Not Prices)
For each asset in my universe, I would like to calculate the STD of returns, over the last...
Mark started the discussion Rolling Window in SymbolData class with ensemble SMA Indicator
I am trying to implement a Rolling Window within the SymbolData class for an ensemble of SMA's.
Mark started the discussion Convert all to Base Currency with Interactive Brokers
Hi All,
Mark started the discussion Accounting for Deposits & Withdrawals in Backtests (and Live Trading)
Being able to build an algorithm and run a backtest using lean is fantastic!
Mark started the discussion SPY Options Data Issue 2015-08-19
Hi there,
Mark started the discussion OptionChainProvider IncludeWeeklys()
Hi There,
Mark left a comment in the discussion SPY Options Data Issue 2015-08-19
Hi Louis,
Mark left a comment in the discussion OptionChainProvider IncludeWeeklys()
Ahhh fantastic thanks Louis. I thought default was Monthly only…
Mark left a comment in the discussion SPY, Minute The issue starts from Apr 6th, 2010 09:30 AM; and continues until now
I found the same thing with SPY Put options on 2015-08-19… jumps from a few cents to $57.00, then...
Mark left a comment in the discussion Accounting for Deposits & Withdrawals in Backtests (and Live Trading)
I also note there is nothing in the Docs about Cashbook or AddAmount?
Mark left a comment in the discussion Accounting for Deposits & Withdrawals in Backtests (and Live Trading)
Thanks Varad!
Mark started the discussion Modifying Insight Duration within Bootcamp: Algorithm Framework
Hi There,
Mark started the discussion Futures HELP: Accessing UnderlyingSymbol for contracts held in your Portfolio?
Hi,
Mark started the discussion HELP: Scheduling Portfolio Construction within the AlgorithmFramework
Hi all,
Mark started the discussion Why is OnSchedule function firing on 2018-01-02 - the markets were closed and the symbol was not trading?
Hi All,
Mark started the discussion A Quantitative Approach to Tactical Asset Allocation: GTAA(5) with SimpleMovingAverage
GTAA consists of five global asset classes: US stocks, foreign stocks, bonds, real estate and...
Mark started the discussion Trouble with Implementing Margin us Insight Weighted Portfolio Construction
I am trying to implement Margin using the AlgorithmFramework, and in particular...
Mark started the discussion HELP doing Comparative analysis using Indicator values
Hi All,
Mark started the discussion HELP. Unexpected behaviour - EMA value assignment
1) if self.short_ma[3] == self.old_ema: 2) return 3) 4) self.old_ema =...
Mark started the discussion Accessing OLD Backtests?
Hi All,
Mark started the discussion Confusion around TotalTotalMarginUsed figures???
Hi All,
Mark started the discussion Lab Background Colour?
Help! My Lab background has changed from my original "Dark" setting to a...
Mark left a comment in the discussion SPY Options Data Issue 2015-08-19
Hi @louis-szeto_1 ,
3 years ago