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Public Backtests (1)

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Crying Sky Blue Eagle

16.878Net Profit

99.708PSR

2.307Sharpe Ratio

0Alpha

0Beta

19.425CAR

0.7Drawdown

-0.46Loss Rate

94Parameters

1Security Types

0Tradeable Dates

34Trades

0Treynor Ratio

1.23Win Rate


Community

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Stephen left a comment in the discussion Coding environment does not load?

I'll attach the original backtest.  The strategy is a simple KNN with a fixed rolling window.  If...

1 years ago

Stephen left a comment in the discussion Coding environment does not load?

I've been experiences issues since last night.  I have a backtest that when I clone it gives me...

1 years ago

Stephen left a comment in the discussion Help with my strategy.

I suggest looking into rolling windows and consolidators to track your open/high/low/close/volume...

1 years ago

Stephen left a comment in the discussion VIX Index Stagnant Prices Dec 17 2021 - Current

Tried to add this to the data issues forum but it seems to have not ended up there. 

2 years ago

Stephen left a comment in the discussion VIX, Daily The issue starts from Mar 23rd, 2021; and continues until May 6th, 2021

Adding to this: It seems the daily resolution and hour resolution have constant datetime indexes...

2 years ago

Crying Sky Blue Eagle

16.878Net Profit

99.708PSR

2.307Sharpe Ratio

0Alpha

0Beta

19.425CAR

0.7Drawdown

-0.46Loss Rate

94Parameters

1Security Types

0Tradeable Dates

34Trades

0Treynor Ratio

1.23Win Rate

Stephen left a comment in the discussion Coding environment does not load?

I'll attach the original backtest.  The strategy is a simple KNN with a fixed rolling window.  If...

1 years ago

Stephen left a comment in the discussion Coding environment does not load?

I've been experiences issues since last night.  I have a backtest that when I clone it gives me...

1 years ago

Stephen left a comment in the discussion Help with my strategy.

I suggest looking into rolling windows and consolidators to track your open/high/low/close/volume...

1 years ago

Stephen left a comment in the discussion VIX Index Stagnant Prices Dec 17 2021 - Current

Tried to add this to the data issues forum but it seems to have not ended up there. 

2 years ago

Stephen left a comment in the discussion VIX, Daily The issue starts from Mar 23rd, 2021; and continues until May 6th, 2021

Adding to this: It seems the daily resolution and hour resolution have constant datetime indexes...

2 years ago

Stephen started the discussion Dynamically reference backtest metrics

I'd like to implement the Kelly Criterion to a stragegy and being able to access the win%, loss%,...

3 years ago

Stephen started the discussion Pulling the exact full amount of history for an asset

One of the green notifications I get during my backtest is:

3 years ago

Stephen started the discussion Manual Insight During Live Trading

Its possible to submit a manual order for any security in your universe during live trading however...

3 years ago

Stephen started the discussion Schedule event in Alpha Framework

I would like to reset some booleans at the beginning of each trading day.  One thing I notice in...

3 years ago

Stephen left a comment in the discussion UVXY split data not updated, Minute The issue starts from May 1st, 2021 09:37 AM; and continues until Jun 14th, 2021

Any idea when this factor file will be updated?  It's been about a month now.

3 years ago

Stephen started the discussion Where do I find the code for the framework modules I select when building a new algorithm framework?

I'm currently looking for the MaximumUnrealizedProfitPercentPerSecurity module to try to modify it...

4 years ago

Stephen started the discussion Weekly Indicator - Research Notebook

Could someone post some super basic code outlining how I would build a weekly RSI for SPY in the...

4 years ago

Stephen started the discussion Circuit Breaker

I notice in my paper trading account that orders are being cleared during circuit breaker periods...

4 years ago

Stephen started the discussion Grouping insights by which Alpha model emitted them

I was looking at the documentation for the Alpha frameworks and it mentions that in cases of...

4 years ago

Stephen started the discussion Monte Carlo Simulations

Its probably an ambitious endeavor but I feel its worth paying additional monthly fees for a...

4 years ago

Stephen started the discussion Tax Adjusted Backtests

It would be so cool if there was a little checkbox or something that allowed us to run a backtests...

4 years ago

Stephen started the discussion Live accounts vs. Paper account: Margin concerns

If you have a 4x margin account with IB and have your algorithm set to utilize only 2x margin can...

5 years ago

Stephen started the discussion Custom Charts in Live Trading Terminal

Hi all, 

5 years ago

Stephen started the discussion Problem with Scheduled Functions

I'm trying to get two functions to alternate their execution during market hours only. The premise...

5 years ago

Stephen started the discussion Imported Data Not Working in LiveMode

I followed the API and documentation and during my backtests I'm able to pull the data I desire...

5 years ago

Stephen started the discussion Advanced Template

Took a while to comb through the API, Documentation, Forums, and Lean Engine to compile this. ...

5 years ago

Stephen started the discussion Security is marked as non-tradeable (non-tradable)

I'm using a basic universe selection that pulls from coarse at its most basic level and runs the...

5 years ago

Stephen started the discussion Universe Warmup Python

I've read through everything I can on the forums but I'm still having difficulty getting my...

5 years ago

Stephen started the discussion How do you import Quandl Spot VIX data in the research environment?

I've attached a copy of the notebook I'm trying to assemble.  The vix futures is returning an...

5 years ago

Stephen started the discussion Trailing Stop

I put together some structure for those looking for more insight into trailing stops.  This logic...

5 years ago

Stephen started the discussion SPY Volume Rate of Change

Hello everyone,

6 years ago