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Team Quantpedia

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Date Joined

13th May, 2019

Bootcamp progress

29% Complete

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Algorithm Sharing

Share an algorithm with the community by making your algorithm public.

2021-01-25 11:24:49
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Backtester

Run at least 100 backtests on QuantConnect's cloud.

2019-07-16 11:44:54
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Live Trading

Deploy a live trading algorithm using one of QuantConnect's supported brokerages.

2019-10-07 13:40:55
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Parallel Live Trading

Run multiple live algorithms simultaneously.

2024-04-08 07:01:49
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Cloner

Clone at least 100 algorithms from the community.

2020-04-22 10:05:05
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C# Programming

Choose C# as your preferred programming language.

2022-07-04 18:43:25
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Python Programming

Choose Python as your preferred programming language.

2019-05-13 21:24:29
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Boot Camp Private

Complete a beginner bootcamp in the algorithm lab.

2020-09-30 17:01:09
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Complete an advanced bootcamp in the algorithm lab.

2020-09-30 15:17:28
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Alpha Streams Developer

Have at least 1 Alpha Stream submission approved.

2020-05-11 18:38:19
  • Profile
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Biography

Activity on QuantConnect

We are pioneering the radical future for open-source quant finance. QuantConnect is the world's largest quant community, empowering 220,000 quants with a framework, data, and infrastructure for their investments.

Public Backtests (14195)

View More
options alloc only

7.125Net Profit

0.001PSR

-0.259Sharpe Ratio

-0.035Alpha

0.254Beta

0.461CAR

14.5Drawdown

73Loss Rate

0Parameters

3Security Types

-0.289Sortino Ratio

5468Tradeable Dates

2543Trades

-0.05Treynor Ratio

27Win Rate

realized vol indicator

69.721Net Profit

13.868PSR

0.433Sharpe Ratio

0.071Alpha

0.208Beta

14.246CAR

41.5Drawdown

28Loss Rate

0Parameters

2Security Types

0.42Sortino Ratio

1000Tradeable Dates

481Trades

0.414Treynor Ratio

72Win Rate

2010; minute resolution; 15min exec; market_order

418.385Net Profit

18.338PSR

0.669Sharpe Ratio

0.028Alpha

0.45Beta

11.613CAR

18.3Drawdown

24Loss Rate

0Parameters

1Security Types

0.724Sortino Ratio

3767Tradeable Dates

4748Trades

0.149Treynor Ratio

76Win Rate

Minute; 15min before close exec; set_holdings

8419.518Net Profit

1.107PSR

0.579Sharpe Ratio

0.098Alpha

1.062Beta

19.472CAR

77.1Drawdown

30Loss Rate

0Parameters

1Security Types

0.677Sortino Ratio

6281Tradeable Dates

8347Trades

0.136Treynor Ratio

70Win Rate

VXX from 2018

102.84Net Profit

30.418PSR

0.575Sharpe Ratio

0Alpha

0Beta

10.68CAR

18.2Drawdown

22Loss Rate

0Parameters

2Security Types

0.215Sortino Ratio

2544Tradeable Dates

64Trades

0Treynor Ratio

78Win Rate

Community

View More

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. 

3 years ago

options alloc only

7.125Net Profit

0.001PSR

-0.259Sharpe Ratio

-0.035Alpha

0.254Beta

0.461CAR

14.5Drawdown

73Loss Rate

0Parameters

3Security Types

-0.289Sortino Ratio

5468Tradeable Dates

2543Trades

-0.05Treynor Ratio

27Win Rate

realized vol indicator

69.721Net Profit

13.868PSR

0.433Sharpe Ratio

0.071Alpha

0.208Beta

14.246CAR

41.5Drawdown

28Loss Rate

0Parameters

2Security Types

0.42Sortino Ratio

1000Tradeable Dates

481Trades

0.414Treynor Ratio

72Win Rate

2010; minute resolution; 15min exec; market_order

418.385Net Profit

18.338PSR

0.669Sharpe Ratio

0.028Alpha

0.45Beta

11.613CAR

18.3Drawdown

24Loss Rate

0Parameters

1Security Types

0.724Sortino Ratio

3767Tradeable Dates

4748Trades

0.149Treynor Ratio

76Win Rate

Minute; 15min before close exec; set_holdings

8419.518Net Profit

1.107PSR

0.579Sharpe Ratio

0.098Alpha

1.062Beta

19.472CAR

77.1Drawdown

30Loss Rate

0Parameters

1Security Types

0.677Sortino Ratio

6281Tradeable Dates

8347Trades

0.136Treynor Ratio

70Win Rate

VXX from 2018

102.84Net Profit

30.418PSR

0.575Sharpe Ratio

0Alpha

0Beta

10.68CAR

18.2Drawdown

22Loss Rate

0Parameters

2Security Types

0.215Sortino Ratio

2544Tradeable Dates

64Trades

0Treynor Ratio

78Win Rate

VIXY from 2012

200.385Net Profit

17.461PSR

0.577Sharpe Ratio

0Alpha

0Beta

8.846CAR

11.3Drawdown

25Loss Rate

0Parameters

2Security Types

0.18Sortino Ratio

4736Tradeable Dates

114Trades

0Treynor Ratio

75Win Rate

seasoanlity + filter

55.146Net Profit

0.027PSR

-0.007Sharpe Ratio

0Alpha

0Beta

2.473CAR

18Drawdown

48Loss Rate

0Parameters

1Security Types

-0.006Sortino Ratio

4522Tradeable Dates

920Trades

0Treynor Ratio

52Win Rate

momentum + filter

91.51Net Profit

0.079PSR

0.123Sharpe Ratio

0Alpha

0Beta

3.681CAR

20.8Drawdown

47Loss Rate

0Parameters

1Security Types

0.098Sortino Ratio

4522Tradeable Dates

700Trades

0Treynor Ratio

53Win Rate

momentum + seasonality + filter

146.656Net Profit

0.494PSR

0.253Sharpe Ratio

0Alpha

0Beta

5.15CAR

23.8Drawdown

48Loss Rate

0Parameters

1Security Types

0.274Sortino Ratio

4522Tradeable Dates

1620Trades

0Treynor Ratio

52Win Rate

Virtual Asparagus Bison

166.516Net Profit

2.386PSR

0.346Sharpe Ratio

0Alpha

0Beta

5.604CAR

15.2Drawdown

36Loss Rate

0Parameters

1Security Types

0.158Sortino Ratio

4522Tradeable Dates

277Trades

0Treynor Ratio

64Win Rate

Direction filter, VIX filter

48.78Net Profit

0.011PSR

0.078Sharpe Ratio

-0.028Alpha

0.433Beta

2.689CAR

41.7Drawdown

48Loss Rate

0Parameters

2Security Types

0.091Sortino Ratio

5465Tradeable Dates

4339Trades

0.024Treynor Ratio

52Win Rate

Directional filter, VIX filters

48.78Net Profit

0.011PSR

0.078Sharpe Ratio

-0.028Alpha

0.433Beta

2.689CAR

41.7Drawdown

48Loss Rate

0Parameters

2Security Types

0.091Sortino Ratio

5465Tradeable Dates

4339Trades

0.024Treynor Ratio

52Win Rate

combo

236.337Net Profit

3.719PSR

0.454Sharpe Ratio

0Alpha

0Beta

7.413CAR

21.5Drawdown

47Loss Rate

0Parameters

1Security Types

0.508Sortino Ratio

4267Tradeable Dates

1620Trades

0Treynor Ratio

53Win Rate

VIX filters, 100 perc alloc

355.389Net Profit

5.654PSR

0.52Sharpe Ratio

-0.004Alpha

1.524Beta

16.457CAR

50.3Drawdown

29Loss Rate

0Parameters

3Security Types

0.487Sortino Ratio

3632Tradeable Dates

112488Trades

0.078Treynor Ratio

71Win Rate

VIX Rank with live exec liquidation

530.94Net Profit

0.41PSR

0.352Sharpe Ratio

0Alpha

0Beta

7.659CAR

34.6Drawdown

37Loss Rate

0Parameters

2Security Types

0.364Sortino Ratio

9111Tradeable Dates

137Trades

0Treynor Ratio

63Win Rate

VIX Rank

530.94Net Profit

0.41PSR

0.352Sharpe Ratio

0Alpha

0Beta

7.659CAR

34.6Drawdown

37Loss Rate

0Parameters

2Security Types

0.364Sortino Ratio

9111Tradeable Dates

137Trades

0Treynor Ratio

63Win Rate

VIX Rank Combined

357.079Net Profit

2.838PSR

0.473Sharpe Ratio

0Alpha

0Beta

13.564CAR

60.5Drawdown

56Loss Rate

0Parameters

2Security Types

0.518Sortino Ratio

4361Tradeable Dates

975Trades

0Treynor Ratio

44Win Rate

VIX Rank Stocks

323.937Net Profit

2.38PSR

0.451Sharpe Ratio

0Alpha

0Beta

12.85CAR

60.5Drawdown

57Loss Rate

0Parameters

2Security Types

0.475Sortino Ratio

4361Tradeable Dates

805Trades

0Treynor Ratio

43Win Rate

VIX Rank Safe

7.791Net Profit

0.026PSR

-0.532Sharpe Ratio

0Alpha

0Beta

0.63CAR

6Drawdown

52Loss Rate

0Parameters

2Security Types

-0.265Sortino Ratio

4361Tradeable Dates

170Trades

0Treynor Ratio

48Win Rate

Adaptable Asparagus Mosquito

204.698Net Profit

21.08PSR

0.612Sharpe Ratio

0Alpha

0Beta

15.054CAR

25.9Drawdown

44Loss Rate

0Parameters

2Security Types

0.393Sortino Ratio

2900Tradeable Dates

32Trades

0Treynor Ratio

56Win Rate

FED; TOM; SPY; 20d MOM; 2d hold; 1m value

50.572Net Profit

7.798PSR

-0.721Sharpe Ratio

0Alpha

0Beta

1.653CAR

3Drawdown

39Loss Rate

0Parameters

2Security Types

-0.321Sortino Ratio

9110Tradeable Dates

778Trades

0Treynor Ratio

61Win Rate

Crying Orange Kangaroo

-89.078Net Profit

0PSR

-0.523Sharpe Ratio

-0.033Alpha

-0.694Beta

-7.886CAR

93.4Drawdown

0Loss Rate

0Parameters

1Security Types

-0.5Sortino Ratio

6778Tradeable Dates

1Trades

0.1Treynor Ratio

0Win Rate

Measured Light Brown Jellyfish

-27.413Net Profit

0PSR

-0.137Sharpe Ratio

-0.004Alpha

-0.314Beta

-1.181CAR

70.3Drawdown

0Loss Rate

0Parameters

1Security Types

-0.103Sortino Ratio

6778Tradeable Dates

1Trades

0.064Treynor Ratio

0Win Rate

Determined Green Dolphin

19.327Net Profit

0.005PSR

-0.135Sharpe Ratio

-0.009Alpha

0.015Beta

1.19CAR

19.2Drawdown

46Loss Rate

0Parameters

1Security Types

-0.145Sortino Ratio

3758Tradeable Dates

32126Trades

-0.494Treynor Ratio

54Win Rate

Retrospective Red Orange Fish

19.493Net Profit

0.001PSR

-0.974Sharpe Ratio

-0.017Alpha

0.024Beta

0.897CAR

4.8Drawdown

47Loss Rate

0Parameters

1Security Types

-0.571Sortino Ratio

5016Tradeable Dates

890Trades

-0.668Treynor Ratio

53Win Rate

HYG notional, 15 min before close

9.288Net Profit

0.013PSR

-2.232Sharpe Ratio

-0.02Alpha

0.009Beta

0.446CAR

2.7Drawdown

47Loss Rate

0Parameters

1Security Types

-1.124Sortino Ratio

5016Tradeable Dates

786Trades

-2.153Treynor Ratio

53Win Rate

zaklad HYG

26.013Net Profit

0.123PSR

-0.838Sharpe Ratio

-0.015Alpha

0.018Beta

1.166CAR

5Drawdown

45Loss Rate

0Parameters

1Security Types

-0.432Sortino Ratio

5016Tradeable Dates

802Trades

-0.785Treynor Ratio

55Win Rate

end of custom data => no recession

1231.828Net Profit

3.003PSR

0.517Sharpe Ratio

0Alpha

0Beta

10.936CAR

19.7Drawdown

29Loss Rate

0Parameters

2Security Types

0.536Sortino Ratio

9106Tradeable Dates

49Trades

0Treynor Ratio

71Win Rate

FED + TOM; SPY; 20d MOM; 2d holding

50.57Net Profit

7.821PSR

-0.719Sharpe Ratio

0Alpha

0Beta

1.654CAR

3Drawdown

39Loss Rate

0Parameters

2Security Types

-0.32Sortino Ratio

9106Tradeable Dates

778Trades

0Treynor Ratio

61Win Rate

backtest

-69.834Net Profit

0PSR

-0.14Sharpe Ratio

-0.038Alpha

0.01Beta

-7.71CAR

82.3Drawdown

53Loss Rate

0Parameters

2Security Types

-0.097Sortino Ratio

5452Tradeable Dates

4497Trades

-3.688Treynor Ratio

47Win 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. 

3 years ago

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