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Public Backtests (4)
View More454.093Net Profit
0.75Sharpe Ratio
0.091Alpha
-0.025Beta
10.587CAR
31.2Drawdown
22Loss Rate
1Security Types
2.5934155300182Sortino Ratio
4277Tradeable Dates
64Trades
-3.615Treynor Ratio
78Win Rate
1058.67Net Profit
1.208Sharpe Ratio
0.324Alpha
-0.029Beta
41.846CAR
34.1Drawdown
54Loss Rate
1Security Types
44.204949939935Sortino Ratio
1763Tradeable Dates
41Trades
-11.134Treynor Ratio
46Win Rate
198.976Net Profit
0.775Sharpe Ratio
0.098Alpha
-0.016Beta
11.561CAR
29.5Drawdown
27Loss Rate
1Security Types
3.07468206913Sortino Ratio
2519Tradeable Dates
43Trades
-6.002Treynor Ratio
73Win Rate
198.976Net Profit
0.775Sharpe Ratio
0.098Alpha
-0.016Beta
11.561CAR
29.5Drawdown
27Loss Rate
1Security Types
3.07468206913Sortino Ratio
2519Tradeable Dates
43Trades
-6.002Treynor Ratio
73Win Rate
Community
View MoreRobert started the discussion Seasonal Timing Strategy with DIA
This is my attempt at implementing STS (Seasonal Timing Strategy using MACD and seasonality) to...
Robert left a comment in the discussion Seasonal Timing Strategy with DIA
Thanks JayJayD and Petter for your comments. This method was written in 1999 by Sy Harding...
Robert left a comment in the discussion Seasonal Timing Strategy with DIA
THanks JayJayD. I modified it to improve returns although it didn't help with the...
454.093Net Profit
0.75Sharpe Ratio
0.091Alpha
-0.025Beta
10.587CAR
31.2Drawdown
22Loss Rate
1Security Types
2.5934155300182Sortino Ratio
4277Tradeable Dates
64Trades
-3.615Treynor Ratio
78Win Rate
1058.67Net Profit
1.208Sharpe Ratio
0.324Alpha
-0.029Beta
41.846CAR
34.1Drawdown
54Loss Rate
1Security Types
44.204949939935Sortino Ratio
1763Tradeable Dates
41Trades
-11.134Treynor Ratio
46Win Rate
198.976Net Profit
0.775Sharpe Ratio
0.098Alpha
-0.016Beta
11.561CAR
29.5Drawdown
27Loss Rate
1Security Types
3.07468206913Sortino Ratio
2519Tradeable Dates
43Trades
-6.002Treynor Ratio
73Win Rate
198.976Net Profit
0.775Sharpe Ratio
0.098Alpha
-0.016Beta
11.561CAR
29.5Drawdown
27Loss Rate
1Security Types
3.07468206913Sortino Ratio
2519Tradeable Dates
43Trades
-6.002Treynor Ratio
73Win Rate
Robert started the discussion Seasonal Timing Strategy with DIA
This is my attempt at implementing STS (Seasonal Timing Strategy using MACD and seasonality) to...
Robert left a comment in the discussion Seasonal Timing Strategy with DIA
Also if this algorithm is only better than 46% of the community and this is ranked 238,137 , and my...
Robert left a comment in the discussion Seasonal Timing Strategy with DIA
Thanks JayJayD and Petter for your comments. This method was written in 1999 by Sy Harding...
Robert left a comment in the discussion Seasonal Timing Strategy with DIA
THanks JayJayD. I modified it to improve returns although it didn't help with the...
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Robert left a comment in the discussion Seasonal Timing Strategy with DIA
Also if this algorithm is only better than 46% of the community and this is ranked 238,137 , and my...
6 years ago