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Public Backtests (16381)

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hedge_90_90_cap_15_mon_55

-8.78Net Profit

0PSR

-3.608Sharpe Ratio

-0.02Alpha

-0.033Beta

-0.704CAR

8.9Drawdown

-0.03Loss Rate

556Parameters

0Security Types

3270Tradeable Dates

1278Trades

0.712Treynor Ratio

0.04Win Rate

stoxx filter

724.687Net Profit

0.182PSR

0.356Sharpe Ratio

0.02Alpha

0.594Beta

8.672CAR

38Drawdown

39Loss Rate

10Parameters

2Security Types

0.378Sortino Ratio

9260Tradeable Dates

3800Trades

0.075Treynor Ratio

61Win Rate

becnhamrk

288.093Net Profit

0.228PSR

0.333Sharpe Ratio

0Alpha

0Beta

9.233CAR

41.7Drawdown

85Loss Rate

3Parameters

2Security Types

0.314Sortino Ratio

3859Tradeable Dates

291Trades

0Treynor Ratio

15Win Rate

1123 Switching Between Momentum and Reversal Strategies in Equities

4948.852Net Profit

0.333PSR

0.513Sharpe Ratio

0.119Alpha

0.019Beta

16.721CAR

40.2Drawdown

50Loss Rate

29Parameters

1Security Types

0.603Sortino Ratio

6374Tradeable Dates

232888Trades

6.228Treynor Ratio

50Win Rate

1122 Volatility Scaled Momentum in Cryptocurrencies

-45.735Net Profit

0PSR

-0.559Sharpe Ratio

-0.075Alpha

0Beta

-7.977CAR

65.6Drawdown

55Loss Rate

18Parameters

3Security Types

-0.635Sortino Ratio

2683Tradeable Dates

4000Trades

806.005Treynor Ratio

45Win Rate


Community

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Team left a comment in the discussion IVW, Daily The issue starts from Oct 19th, 2020; and continues until now

Hi, we've noticed same split issue with DSI etf on 2020-12-07.2:1 split this time. 

4 years ago

hedge_90_90_cap_15_mon_55

-8.78Net Profit

0PSR

-3.608Sharpe Ratio

-0.02Alpha

-0.033Beta

-0.704CAR

8.9Drawdown

-0.03Loss Rate

556Parameters

0Security Types

3270Tradeable Dates

1278Trades

0.712Treynor Ratio

0.04Win Rate

stoxx filter

724.687Net Profit

0.182PSR

0.356Sharpe Ratio

0.02Alpha

0.594Beta

8.672CAR

38Drawdown

39Loss Rate

10Parameters

2Security Types

0.378Sortino Ratio

9260Tradeable Dates

3800Trades

0.075Treynor Ratio

61Win Rate

becnhamrk

288.093Net Profit

0.228PSR

0.333Sharpe Ratio

0Alpha

0Beta

9.233CAR

41.7Drawdown

85Loss Rate

3Parameters

2Security Types

0.314Sortino Ratio

3859Tradeable Dates

291Trades

0Treynor Ratio

15Win Rate

1123 Switching Between Momentum and Reversal Strategies in Equities

4948.852Net Profit

0.333PSR

0.513Sharpe Ratio

0.119Alpha

0.019Beta

16.721CAR

40.2Drawdown

50Loss Rate

29Parameters

1Security Types

0.603Sortino Ratio

6374Tradeable Dates

232888Trades

6.228Treynor Ratio

50Win Rate

1122 Volatility Scaled Momentum in Cryptocurrencies

-45.735Net Profit

0PSR

-0.559Sharpe Ratio

-0.075Alpha

0Beta

-7.977CAR

65.6Drawdown

55Loss Rate

18Parameters

3Security Types

-0.635Sortino Ratio

2683Tradeable Dates

4000Trades

806.005Treynor Ratio

45Win Rate

1121 Similar Attention Stocks Effect in Chinese Stocks

-32.242Net Profit

0.001PSR

-0.266Sharpe Ratio

-0.036Alpha

-0.031Beta

-3.69CAR

58.8Drawdown

53Loss Rate

30Parameters

1Security Types

-0.259Sortino Ratio

3779Tradeable Dates

5396Trades

1.259Treynor Ratio

47Win Rate

1120 Righ Tail vs Left Tail Stock Picking Strategy in China

-0.058Net Profit

0.007PSR

-0.755Sharpe Ratio

-0.023Alpha

-0.001Beta

-0.006CAR

18.6Drawdown

49Loss Rate

29Parameters

1Security Types

-0.634Sortino Ratio

3779Tradeable Dates

4370Trades

38.968Treynor Ratio

51Win Rate

1119 Informative Price Pressure During Pre FOMC Days

149.544Net Profit

15.825PSR

0.095Sharpe Ratio

0.001Alpha

0.043Beta

3.671CAR

5.5Drawdown

7Loss Rate

14Parameters

1Security Types

0.087Sortino Ratio

6374Tradeable Dates

331Trades

0.067Treynor Ratio

93Win Rate

1115 Margin Debt Market Timing Strategy

627.357Net Profit

2.541PSR

0.429Sharpe Ratio

0.025Alpha

0.29Beta

8.137CAR

20.2Drawdown

28Loss Rate

17Parameters

2Security Types

0.4Sortino Ratio

9258Tradeable Dates

158Trades

0.126Treynor Ratio

72Win Rate

1114 IPOs Negative Returns After Options Listing

-34.514Net Profit

0PSR

-0.199Sharpe Ratio

0.021Alpha

-0.665Beta

-3.369CAR

61.2Drawdown

48Loss Rate

14Parameters

1Security Types

-0.235Sortino Ratio

3105Tradeable Dates

1592Trades

0.048Treynor Ratio

52Win Rate

1113 The Impact of the Inflation on the Performance of the US Dollar

22.453Net Profit

0PSR

-0.338Sharpe Ratio

-0.015Alpha

0Beta

1CAR

15.2Drawdown

32Loss Rate

35Parameters

2Security Types

-0.297Sortino Ratio

7431Tradeable Dates

150Trades

-31.265Treynor Ratio

68Win Rate

1111 Switching Regimes Factor Strategy

38.576Net Profit

0.066PSR

0.066Sharpe Ratio

-0.018Alpha

0.382Beta

2.915CAR

42.9Drawdown

48Loss Rate

43Parameters

2Security Types

0.065Sortino Ratio

4144Tradeable Dates

855Trades

0.026Treynor Ratio

52Win Rate

1109 Election Driven Arbitrage Strategy

93.242Net Profit

72.488PSR

2.495Sharpe Ratio

1.515Alpha

0.752Beta

201.318CAR

32.1Drawdown

33Loss Rate

17Parameters

1Security Types

2.633Sortino Ratio

149Tradeable Dates

19Trades

1.966Treynor Ratio

67Win Rate

1102 Front Running Rebalancing Signals

10.532Net Profit

0PSR

-0.922Sharpe Ratio

-0.02Alpha

0.014Beta

0.396CAR

4.7Drawdown

38Loss Rate

21Parameters

1Security Types

-0.121Sortino Ratio

6374Tradeable Dates

12Trades

-1.438Treynor Ratio

62Win Rate

1094 Intraday Drift in Crude Oil Price

-90.971Net Profit

0PSR

-0.767Sharpe Ratio

-0.172Alpha

0.26Beta

-20.728CAR

91.6Drawdown

52Loss Rate

15Parameters

2Security Types

-0.854Sortino Ratio

2601Tradeable Dates

10403Trades

-0.591Treynor Ratio

48Win Rate

1093 Downside Risk Premium in US Stocks

-35.621Net Profit

0PSR

-0.231Sharpe Ratio

-0.027Alpha

-0.02Beta

-1.721CAR

67.8Drawdown

49Loss Rate

23Parameters

1Security Types

-0.263Sortino Ratio

6374Tradeable Dates

3560Trades

1.35Treynor Ratio

51Win Rate

1092 Google Trends Unemployment Market Timing Strategy

399.879Net Profit

0.181PSR

0.324Sharpe Ratio

0.039Alpha

0.167Beta

8.668CAR

44.5Drawdown

39Loss Rate

29Parameters

2Security Types

0.341Sortino Ratio

7066Tradeable Dates

100Trades

0.297Treynor Ratio

61Win Rate

1089 Risk Premiums in the Cryptocurrency Market

15.676Net Profit

0.231PSR

0.027Sharpe Ratio

0.006Alpha

-0.013Beta

2CAR

49.7Drawdown

54Loss Rate

24Parameters

3Security Types

0.03Sortino Ratio

2683Tradeable Dates

225Trades

-0.43Treynor Ratio

46Win Rate

1088 End of Day Reversal in the Cross Section of Stocks

250.076Net Profit

31.34PSR

0.334Sharpe Ratio

0.013Alpha

0.002Beta

5.064CAR

50.5Drawdown

51Loss Rate

19Parameters

1Security Types

0.357Sortino Ratio

6374Tradeable Dates

252452Trades

7.211Treynor Ratio

49Win Rate

1087 Inflation Gamble Stocks

-30.121Net Profit

0PSR

-0.084Sharpe Ratio

0.001Alpha

-0.396Beta

-1.403CAR

74.3Drawdown

47Loss Rate

31Parameters

2Security Types

-0.085Sortino Ratio

9258Tradeable Dates

40589Trades

0.039Treynor Ratio

53Win Rate

1084 Inflation Risk Premium in Stocks During FOMC Announcements

-30.18Net Profit

0PSR

-0.261Sharpe Ratio

-0.022Alpha

-0.131Beta

-1.406CAR

69.8Drawdown

49Loss Rate

14Parameters

1Security Types

-0.308Sortino Ratio

6374Tradeable Dates

62725Trades

0.206Treynor Ratio

51Win Rate

1083 Adjusted Momentum Strategies in Indian Stocks

609.135Net Profit

32.925PSR

0.768Sharpe Ratio

0.081Alpha

-0.017Beta

13.607CAR

32.9Drawdown

42Loss Rate

23Parameters

1Security Types

0.758Sortino Ratio

5605Tradeable Dates

13895Trades

-4.783Treynor Ratio

58Win Rate

1081 Price to Low Effect in Cryptocurrencies

-31.796Net Profit

0.001PSR

-0.53Sharpe Ratio

-0.056Alpha

0.042Beta

-4.478CAR

44Drawdown

52Loss Rate

16Parameters

1Security Types

-0.685Sortino Ratio

3048Tradeable Dates

1598Trades

-1.272Treynor Ratio

48Win Rate

1076 Impact of EIA Inventory Announcements on Crude Oil Prices

-15.555Net Profit

0PSR

-1.702Sharpe Ratio

-0.027Alpha

-0.004Beta

-0.664CAR

18.9Drawdown

61Loss Rate

15Parameters

1Security Types

-0.697Sortino Ratio

6374Tradeable Dates

1990Trades

7.438Treynor Ratio

39Win Rate

1071 Interday Cross Sectional Momentum

-32.829Net Profit

0PSR

-8.592Sharpe Ratio

-0.162Alpha

-0.021Beta

-15.59CAR

33.3Drawdown

54Loss Rate

0Parameters

1Security Types

-10.274Sortino Ratio

587Tradeable Dates

115918Trades

7.794Treynor Ratio

46Win Rate

1061 Predicting Anomalies

-100.084Net Profit

0PSR

-0.757Sharpe Ratio

-0.376Alpha

0.072Beta

0CAR

100.1Drawdown

51Loss Rate

16Parameters

1Security Types

-0.406Sortino Ratio

6374Tradeable Dates

3386Trades

-5.217Treynor Ratio

49Win Rate

1051 Insights from the Geopolitical Sentiment Index made with Google Trends

37.85Net Profit

0.047PSR

-0.099Sharpe Ratio

-0.003Alpha

-0.007Beta

1.866CAR

10.4Drawdown

50Loss Rate

17Parameters

2Security Types

-0.116Sortino Ratio

6336Tradeable Dates

345Trades

0.572Treynor Ratio

50Win Rate

1049 Intermediate Uncertainty Crypto Strategy

-87.285Net Profit

0.003PSR

-0.083Sharpe Ratio

-0.028Alpha

-0.173Beta

-18.058CAR

92.9Drawdown

51Loss Rate

23Parameters

2Security Types

-0.083Sortino Ratio

3779Tradeable Dates

3189Trades

0.233Treynor Ratio

49Win Rate

1047 Idiosyncratic Earnings Hedge Strategy

11.19Net Profit

0PSR

-0.26Sharpe Ratio

-0.018Alpha

0.008Beta

0.419CAR

34.6Drawdown

49Loss Rate

15Parameters

1Security Types

-0.202Sortino Ratio

6374Tradeable Dates

6841Trades

-2.12Treynor Ratio

51Win Rate

1043 Lunch Effect in the US Stock Market Indices

21.219Net Profit

0PSR

-0.283Sharpe Ratio

-0.021Alpha

0.128Beta

0.762CAR

34.7Drawdown

47Loss Rate

9Parameters

1Security Types

-0.289Sortino Ratio

6374Tradeable Dates

12638Trades

-0.125Treynor Ratio

53Win Rate

Team left a comment in the discussion IVW, Daily The issue starts from Oct 19th, 2020; and continues until now

Hi, we've noticed same split issue with DSI etf on 2020-12-07.2:1 split this time. 

4 years ago