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7.704Net Profit
5.759Sharpe Ratio
2.418Alpha
-38.161Beta
534.061CAR
3.6Drawdown
0Loss Rate
6Parameters
1Security Types
0Sortino Ratio
10Tradeable Dates
2Trades
-0.046Treynor Ratio
0Win Rate
8Parameters
1Security Types
1149Tradeable Dates
7.832Net Profit
0.173Sharpe Ratio
0.284Alpha
-12.492Beta
1.423CAR
47.6Drawdown
58Loss Rate
7Parameters
1Security Types
0.0135Sortino Ratio
0Tradeable Dates
4382Trades
-0.003Treynor Ratio
42Win Rate
974.543Net Profit
1.709Sharpe Ratio
0.565Alpha
0.115Beta
69.426CAR
27.4Drawdown
41Loss Rate
1Security Types
0.63076827706122Sortino Ratio
1393Tradeable Dates
179Trades
4.88Treynor Ratio
59Win Rate
38206.76Net Profit
3.233Sharpe Ratio
3.389Alpha
0.05Beta
1662.453CAR
38.3Drawdown
84Loss Rate
1Security Types
0.26549183777172Sortino Ratio
522Tradeable Dates
2182Trades
67.699Treynor Ratio
16Win Rate
Petter left a comment in the discussion Writing to the Log from a Non Algorithm Class
It is late and I realized Python is a different language... and I can't delete my post, lol. Python...
Petter left a comment in the discussion Writing to the Log from a Non Algorithm Class
Make a field in your algorithm class (here assuming it's called MyAlgorithm):
Petter left a comment in the discussion Coming Soon - L1 Equity Quote Data!
Fantastic news. Overly optimistic fills was really one of the main time killers when starting out...
Petter left a comment in the discussion Algorithm Framework Module - Portfolio Construction Model With Custom Optimizer
This is really cool, thanks for sharing!
7.704Net Profit
5.759Sharpe Ratio
2.418Alpha
-38.161Beta
534.061CAR
3.6Drawdown
0Loss Rate
6Parameters
1Security Types
0Sortino Ratio
10Tradeable Dates
2Trades
-0.046Treynor Ratio
0Win Rate
8Parameters
1Security Types
1149Tradeable Dates
7.832Net Profit
0.173Sharpe Ratio
0.284Alpha
-12.492Beta
1.423CAR
47.6Drawdown
58Loss Rate
7Parameters
1Security Types
0.0135Sortino Ratio
0Tradeable Dates
4382Trades
-0.003Treynor Ratio
42Win Rate
974.543Net Profit
1.709Sharpe Ratio
0.565Alpha
0.115Beta
69.426CAR
27.4Drawdown
41Loss Rate
1Security Types
0.63076827706122Sortino Ratio
1393Tradeable Dates
179Trades
4.88Treynor Ratio
59Win Rate
38206.76Net Profit
3.233Sharpe Ratio
3.389Alpha
0.05Beta
1662.453CAR
38.3Drawdown
84Loss Rate
1Security Types
0.26549183777172Sortino Ratio
522Tradeable Dates
2182Trades
67.699Treynor Ratio
16Win Rate
2463.618Net Profit
1.043Sharpe Ratio
0.677Alpha
-18.38Beta
30.922CAR
58.8Drawdown
5Loss Rate
1Security Types
0.34954362230217Sortino Ratio
3029Tradeable Dates
124Trades
-0.017Treynor Ratio
95Win Rate
118.059Net Profit
3.675Sharpe Ratio
1.32Alpha
-41.643Beta
114.443CAR
6.3Drawdown
28Loss Rate
1Security Types
0.1122430769296Sortino Ratio
256Tradeable Dates
5088Trades
-0.015Treynor Ratio
72Win Rate
10439.383Net Profit
1.393Sharpe Ratio
0.427Alpha
0.067Beta
59.878CAR
36.4Drawdown
32Loss Rate
1Security Types
0.032567784386767Sortino Ratio
2499Tradeable Dates
57480Trades
6.406Treynor Ratio
68Win Rate
61.811Net Profit
2.593Sharpe Ratio
0.477Alpha
-0.233Beta
68.937CAR
8.9Drawdown
31Loss Rate
1Security Types
0.059594016062244Sortino Ratio
232Tradeable Dates
5362Trades
-1.893Treynor Ratio
69Win Rate
10486.656Net Profit
1.394Sharpe Ratio
0.427Alpha
0.067Beta
59.95CAR
36.4Drawdown
32Loss Rate
1Security Types
0.03270491209899Sortino Ratio
2499Tradeable Dates
57480Trades
6.417Treynor Ratio
68Win Rate
119.277Net Profit
1.187Sharpe Ratio
0.423Alpha
-0.249Beta
50.858CAR
23.3Drawdown
31Loss Rate
1Security Types
0.05269938742202Sortino Ratio
480Tradeable Dates
2854Trades
-1.573Treynor Ratio
69Win Rate
10.354Net Profit
1.189Sharpe Ratio
0.101Alpha
-0.064Beta
11.587CAR
5.4Drawdown
49Loss Rate
1Security Types
-0.0020752605322098Sortino Ratio
0Tradeable Dates
6481Trades
-1.428Treynor Ratio
51Win Rate
22.653Net Profit
3.315Sharpe Ratio
0.183Alpha
0.025Beta
25.511CAR
2Drawdown
43Loss Rate
1Security Types
0.015198611091767Sortino Ratio
0Tradeable Dates
5674Trades
7.321Treynor Ratio
57Win Rate
20.574Net Profit
1.472Sharpe Ratio
0.181Alpha
-0.033Beta
23.146CAR
6.6Drawdown
49Loss Rate
1Security Types
-0.00086446610853661Sortino Ratio
0Tradeable Dates
6684Trades
-5.276Treynor Ratio
51Win Rate
625.279Net Profit
1.574Sharpe Ratio
0.799Alpha
-0.479Beta
153.04CAR
45.8Drawdown
43Loss Rate
1Security Types
0.22099376593344Sortino Ratio
779Tradeable Dates
233Trades
-1.579Treynor Ratio
57Win Rate
106.231Net Profit
0.898Sharpe Ratio
0.047Alpha
0.126Beta
6.943CAR
13.3Drawdown
13Loss Rate
1Security Types
1.2015935286291Sortino Ratio
2713Tradeable Dates
157Trades
0.453Treynor Ratio
87Win Rate
84.73Net Profit
0.768Sharpe Ratio
0.036Alpha
0.159Beta
5.856CAR
15.5Drawdown
11Loss Rate
1Security Types
1.1338093586619Sortino Ratio
2713Tradeable Dates
163Trades
0.305Treynor Ratio
89Win Rate
786.229Net Profit
1.638Sharpe Ratio
0.333Alpha
0.017Beta
37.982CAR
24.6Drawdown
50Loss Rate
1Security Types
0.30530059062787Sortino Ratio
1704Tradeable Dates
809Trades
19.811Treynor Ratio
50Win Rate
18.058Net Profit
0.853Sharpe Ratio
0.085Alpha
-0.292Beta
7.66CAR
11Drawdown
83Loss Rate
1Security Types
0.10792590048195Sortino Ratio
566Tradeable Dates
1358Trades
-0.216Treynor Ratio
17Win Rate
89.483Net Profit
0.346Sharpe Ratio
0.068Alpha
0.016Beta
6.18CAR
39.2Drawdown
47Loss Rate
1Security Types
0.22305542969745Sortino Ratio
2682Tradeable Dates
95Trades
4.364Treynor Ratio
53Win Rate
67.54Net Profit
0.638Sharpe Ratio
0.094Alpha
0.024Beta
10.86CAR
35Drawdown
50Loss Rate
1Security Types
0.38250139695109Sortino Ratio
1258Tradeable Dates
57Trades
4.058Treynor Ratio
50Win Rate
0Net Profit
1.424Sharpe Ratio
0.013Alpha
0.982Beta
16.263CAR
9.4Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
401Tradeable Dates
1Trades
0.158Treynor Ratio
0Win Rate
44.736Net Profit
0.783Sharpe Ratio
0.32Alpha
0.501Beta
44.445CAR
36Drawdown
67Loss Rate
1Security Types
0.27082120487828Sortino Ratio
0Tradeable Dates
19Trades
0.708Treynor Ratio
33Win Rate
379Tradeable Dates
251Tradeable Dates
575Tradeable Dates
Petter left a comment in the discussion Algo: Flock
Out of curiosity, had a quick look at Cole's implementation (preferring this version since I...
Petter left a comment in the discussion Writing to the Log from a Non Algorithm Class
It is late and I realized Python is a different language... and I can't delete my post, lol. Python...
Petter left a comment in the discussion Writing to the Log from a Non Algorithm Class
Make a field in your algorithm class (here assuming it's called MyAlgorithm):
Petter left a comment in the discussion Coming Soon - L1 Equity Quote Data!
Fantastic news. Overly optimistic fills was really one of the main time killers when starting out...
Petter left a comment in the discussion Algorithm Framework Module - Portfolio Construction Model With Custom Optimizer
This is really cool, thanks for sharing!
Petter left a comment in the discussion Running a local research environment?
Is anyone currently running the research environment locally and solved their issues above?
Petter started the discussion GUI: Error messages blocking backtest deletion
A minor problem I'm having right now is that the big red error messages you get when there are...
Petter started the discussion FineFundamentals outside universe selection?
Can I access the P/E in FineFundamentals from somewhere else than universe selection?
Petter started the discussion How does QC ranking system work?
Out of curiosity, how does QC's ranking system work? It seems quite dependent on the time...
Petter started the discussion Shorting and universe selection
Given universe selection, e.g. Universe.DollarVolume.Top(100), what kind of approach is...
Petter started the discussion Backtest upper limit changed from 3?
I must say I was pleasantly surprised to be able to start more than 3 backtests (even when...
Petter started the discussion Universe selection exposes suspicious data...
A universe selection based algo I made for 2016 would seem like the best algo ever, achieving...
Petter started the discussion Interleaving orders
Maybe this is a basic question, but I haven't been needing to get down into the gritty details...
Petter started the discussion Cancelled -> Invalid order state transition?
What's happening here? Pretty sure my algo is legitimately cancelling the order, but it ends up...
Petter started the discussion Schedule.On correct way of triggering one shot event?
I'm trying to schedule "happen once" events, is Schedule.On appropriate for that? The...
Petter started the discussion Maximum size of market orders before experiencing major slippage in SPY?
I wonder if anyone else has input on this. Assuming I'm using market orders, how large can they...
Petter started the discussion Number of Tick:s sent to OnData
At tick level resolution, what determines the number of ticks sent to OnData? Does time slices have...
Petter started the discussion Periodic callback possible?
Is there any way I can get callbacks at a periodic rate that's decoupled from OnData? With...
Petter started the discussion Oanda CFD symbols
Hello,
Petter started the discussion Weird behavior on exceptions in scheduled event handler
1. Yesterday, I had a huge headache trying to figure out where an exception throwing bug happened,...
Petter started the discussion Most convenient way of creating lagged/delayed indicator?
Hello,
Petter started the discussion 502 Bad Gateway
Getting HTTP Response 502 (Bad Gateway) when trying to access the Algorithm Lab or Documentation...
Petter started the discussion Memory kills
Hello
Petter started the discussion Suggestion: Store code with backtest
Currently, a problem I have is that I eventually end up with quite a few backtests from different...
Petter started the discussion Serious Testing
OK, so we all know this problem: You re-run your backtest, and because of a miniscule change in...
Petter started the discussion SetHoldings slow :(
SetHoldings is a useful function for protyping to not have to care about the particulars of orders...
Petter left a comment in the discussion Algo: Flock
Out of curiosity, had a quick look at Cole's implementation (preferring this version since I...
2 years ago