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928.06Net Profit
0.958Sharpe Ratio
0.141Alpha
0.311Beta
19.623CAR
24.1Drawdown
37Loss Rate
1Security Types
0.46625155815688Sortino Ratio
3207Tradeable Dates
575Trades
0.519Treynor Ratio
63Win Rate
28Tradeable Dates
297Tradeable Dates
2464Tradeable Dates
294Tradeable Dates
Stefan left a comment in the discussion VIX Future Data Available!
Awesome. Thank you!
Stefan started the discussion Build Timeout
Hi
Stefan started the discussion Accord.Net
Hi
Stefan left a comment in the discussion Intraday Mean-Reversion Strategy (TVIX - VXX )
I believe they are difficult to short. A short-and-hold on the TVIX would also produce massive...
928.06Net Profit
0.958Sharpe Ratio
0.141Alpha
0.311Beta
19.623CAR
24.1Drawdown
37Loss Rate
1Security Types
0.46625155815688Sortino Ratio
3207Tradeable Dates
575Trades
0.519Treynor Ratio
63Win Rate
28Tradeable Dates
297Tradeable Dates
2464Tradeable Dates
294Tradeable Dates
626Tradeable Dates
313Tradeable Dates
313Tradeable Dates
915Tradeable Dates
915Tradeable Dates
2464Tradeable Dates
2464Tradeable Dates
296Tradeable Dates
Stefan left a comment in the discussion Algo: Beer Money 1.0.0
I run market making on crypto exchanges. Backtesting results are usually off. I am quite sceptical...
Stefan left a comment in the discussion VIX Future Data Available!
Awesome. Thank you!
Stefan started the discussion Build Timeout
Hi
Stefan started the discussion Accord.Net
Hi
Stefan left a comment in the discussion Intraday Mean-Reversion Strategy (TVIX - VXX )
I believe they are difficult to short. A short-and-hold on the TVIX would also produce massive...
Stefan left a comment in the discussion London Breakout Strategy
Thanks for the update. No real inconvenience encountered :)
Stefan left a comment in the discussion London Breakout Strategy
Hi Jared
Stefan left a comment in the discussion Trading continuous time instead of 1 minute after the open following signal
In your code you have a check that only allows you to trade once per day
Stefan left a comment in the discussion Algo: Beer Money 1.0.0
I run market making on crypto exchanges. Backtesting results are usually off. I am quite sceptical...
6 years ago