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Public Backtests (7)

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Hipster Asparagus Armadillo

-2.978Net Profit

-1.521Sharpe Ratio

0.192Alpha

-28.925Beta

-31.062CAR

6.5Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

22Tradeable Dates

1Trades

0.011Treynor Ratio

0Win Rate

Casual Yellow-Green Horse

47.305Net Profit

1.383Sharpe Ratio

43.952Alpha

-3174.121Beta

42.904CAR

4.7Drawdown

21Loss Rate

1Security Types

0.66475162306706Sortino Ratio

396Tradeable Dates

250Trades

0Treynor Ratio

79Win Rate

Emotional Asparagus Lion

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

2Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Swimming Violet Dog

-1.941Net Profit

-4.159Sharpe Ratio

0.113Alpha

-2.764Beta

-65.812CAR

3.8Drawdown

77Loss Rate

1Security Types

-0.15137008949167Sortino Ratio

5Tradeable Dates

65Trades

0.349Treynor Ratio

23Win Rate

Fat Apricot Albatross

0Net Profit

3.338Sharpe Ratio

0.233Alpha

0.655Beta

19.447CAR

1Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

3Tradeable Dates

2Trades

0.15Treynor Ratio

0Win Rate


Community

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Sofyan started the discussion Backtest Handled Error: BTCUSD: requires BTC and USD to have non-zero conversion rates. This can be caused by lack of data.

What is the data availability of btcusd data? I am currently setting resolution to hourly.

6 years ago

Sofyan started the discussion Extended market hours data error

I am developing an algorithm which heavily relies on the usage of after hours data, sepcifically in...

7 years ago

Sofyan started the discussion Set Custom Margin Model For Short Options

I am looking at the documentation (OptionMarginModel and ISecurityMarginModel) and am having...

7 years ago

Sofyan started the discussion Override Option limit fill model

I am noticing that limit orders do not fill for a very long time regardless of the price you set....

7 years ago

Sofyan started the discussion Lean Documentation Laggy on

I have tried on multiple computers and with various internet connections. This includes high...

7 years ago

Hipster Asparagus Armadillo

-2.978Net Profit

-1.521Sharpe Ratio

0.192Alpha

-28.925Beta

-31.062CAR

6.5Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

22Tradeable Dates

1Trades

0.011Treynor Ratio

0Win Rate

Casual Yellow-Green Horse

47.305Net Profit

1.383Sharpe Ratio

43.952Alpha

-3174.121Beta

42.904CAR

4.7Drawdown

21Loss Rate

1Security Types

0.66475162306706Sortino Ratio

396Tradeable Dates

250Trades

0Treynor Ratio

79Win Rate

Emotional Asparagus Lion

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

2Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Swimming Violet Dog

-1.941Net Profit

-4.159Sharpe Ratio

0.113Alpha

-2.764Beta

-65.812CAR

3.8Drawdown

77Loss Rate

1Security Types

-0.15137008949167Sortino Ratio

5Tradeable Dates

65Trades

0.349Treynor Ratio

23Win Rate

Fat Apricot Albatross

0Net Profit

3.338Sharpe Ratio

0.233Alpha

0.655Beta

19.447CAR

1Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

3Tradeable Dates

2Trades

0.15Treynor Ratio

0Win Rate

Muscular Orange Buffalo

0Net Profit

3.157Sharpe Ratio

0.011Alpha

0.476Beta

33.667CAR

0.5Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

3Tradeable Dates

2Trades

0.41Treynor Ratio

0Win Rate

Swimming Orange Antelope

0Net Profit

3.157Sharpe Ratio

0.011Alpha

0.476Beta

33.667CAR

0.5Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

3Tradeable Dates

2Trades

0.41Treynor Ratio

0Win Rate

Sofyan started the discussion Backtest Handled Error: BTCUSD: requires BTC and USD to have non-zero conversion rates. This can be caused by lack of data.

What is the data availability of btcusd data? I am currently setting resolution to hourly.

6 years ago

Sofyan started the discussion Extended market hours data error

I am developing an algorithm which heavily relies on the usage of after hours data, sepcifically in...

7 years ago

Sofyan started the discussion Set Custom Margin Model For Short Options

I am looking at the documentation (OptionMarginModel and ISecurityMarginModel) and am having...

7 years ago

Sofyan started the discussion Override Option limit fill model

I am noticing that limit orders do not fill for a very long time regardless of the price you set....

7 years ago

Sofyan started the discussion Lean Documentation Laggy on

I have tried on multiple computers and with various internet connections. This includes high...

7 years ago

Sofyan started the discussion Access Denied for Public Dropbox Link and How to Create trailing Stop Loss

The boilerplate for my code needs to do the following:

7 years ago

Sofyan started the discussion Getting today's opening price from History Function

So I am able to get yesterday's close but am having a lot of difficulty getting today's...

7 years ago

Sofyan started the discussion "Runtime Error: '...' wasn't found in the TradeBars object" when dealing with universe of stocks

So I am working with a dynamic universe of stocks at second resolution and am occasionally seeing...

7 years ago

Sofyan started the discussion Check minimum tick size increment

Certain stocks have a min tick increment size of .05 rather than .01. So for example if I try to...

7 years ago

Sofyan left a comment in the discussion Check minimum tick size increment

Jared Broad Thanks for letting me know. I think I will get around the issue by submitting a...

7 years ago

Sofyan left a comment in the discussion "Runtime Error: '...' wasn't found in the TradeBars object" when dealing with universe of stocks

Jared Broad Apologies for this. The main issue deterring me from uploading backtests is that...

7 years ago

Sofyan left a comment in the discussion Check minimum tick size increment

Great this is exactly what I was looking for!

7 years ago

Sofyan left a comment in the discussion "Runtime Error: '...' wasn't found in the TradeBars object" when dealing with universe of stocks

Actually, I just finished the test using tick data and am geting "Runtime Error: '...'...

7 years ago

Sofyan left a comment in the discussion "Runtime Error: '...' wasn't found in the TradeBars object" when dealing with universe of stocks

That makes perfect sense, thanks for the help! I am only using onData to simulate a trailing stop...

7 years ago

Sofyan left a comment in the discussion "Runtime Error: '...' wasn't found in the TradeBars object" when dealing with universe of stocks

Hi Yan Xiaowei, appreciate the assistance!

7 years ago