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66.665Net Profit
2.491PSR
0.631Sharpe Ratio
0.009Alpha
0.404Beta
2.702CAR
7.5Drawdown
36Loss Rate
24Parameters
1Security Types
0.3084Sortino Ratio
4820Tradeable Dates
935Trades
0.048Treynor Ratio
64Win Rate
298.504Net Profit
95.982PSR
1.677Sharpe Ratio
0.128Alpha
0.199Beta
21.333CAR
12.2Drawdown
10Loss Rate
0Parameters
2Security Types
10.3731Sortino Ratio
2611Tradeable Dates
124Trades
0.741Treynor Ratio
90Win Rate
603.889Net Profit
72.147PSR
1.261Sharpe Ratio
0Alpha
0Beta
23.773CAR
18.4Drawdown
-0.83Loss Rate
0Parameters
1Security Types
1.861Sortino Ratio
2303Tradeable Dates
136Trades
0Treynor Ratio
7.54Win Rate
395.183Net Profit
82.409PSR
1.404Sharpe Ratio
0Alpha
0Beta
25.061CAR
17.6Drawdown
-0.14Loss Rate
37Parameters
1Security Types
2.327Sortino Ratio
1799Tradeable Dates
3981Trades
0Treynor Ratio
0.19Win Rate
393.294Net Profit
64.493PSR
1.176Sharpe Ratio
0Alpha
0Beta
19.048CAR
18Drawdown
38Loss Rate
0Parameters
1Security Types
0.4769Sortino Ratio
2303Tradeable Dates
1112Trades
0Treynor Ratio
62Win Rate
Todd started the discussion Rotational Bond Strategy
First post on QC since migrating from Quantopian and wanted to push out to the community a strategy...
Todd left a comment in the discussion The In & Out Strategy - Continued from Quantopian
There has been discussions across this and other threads regarding bonds (TLT / SHY) and what we...
66.665Net Profit
2.491PSR
0.631Sharpe Ratio
0.009Alpha
0.404Beta
2.702CAR
7.5Drawdown
36Loss Rate
24Parameters
1Security Types
0.3084Sortino Ratio
4820Tradeable Dates
935Trades
0.048Treynor Ratio
64Win Rate
298.504Net Profit
95.982PSR
1.677Sharpe Ratio
0.128Alpha
0.199Beta
21.333CAR
12.2Drawdown
10Loss Rate
0Parameters
2Security Types
10.3731Sortino Ratio
2611Tradeable Dates
124Trades
0.741Treynor Ratio
90Win Rate
603.889Net Profit
72.147PSR
1.261Sharpe Ratio
0Alpha
0Beta
23.773CAR
18.4Drawdown
-0.83Loss Rate
0Parameters
1Security Types
1.861Sortino Ratio
2303Tradeable Dates
136Trades
0Treynor Ratio
7.54Win Rate
395.183Net Profit
82.409PSR
1.404Sharpe Ratio
0Alpha
0Beta
25.061CAR
17.6Drawdown
-0.14Loss Rate
37Parameters
1Security Types
2.327Sortino Ratio
1799Tradeable Dates
3981Trades
0Treynor Ratio
0.19Win Rate
393.294Net Profit
64.493PSR
1.176Sharpe Ratio
0Alpha
0Beta
19.048CAR
18Drawdown
38Loss Rate
0Parameters
1Security Types
0.4769Sortino Ratio
2303Tradeable Dates
1112Trades
0Treynor Ratio
62Win Rate
295.41Net Profit
95.737PSR
1.667Sharpe Ratio
0.127Alpha
0.2Beta
21.246CAR
12.2Drawdown
10Loss Rate
0Parameters
2Security Types
5.1999Sortino Ratio
2609Tradeable Dates
124Trades
0.735Treynor Ratio
90Win Rate
106.845Net Profit
47.707PSR
1.114Sharpe Ratio
0Alpha
0Beta
40.756CAR
37Drawdown
-0.66Loss Rate
37Parameters
1Security Types
1.657Sortino Ratio
535Tradeable Dates
442Trades
0Treynor Ratio
0.99Win Rate
54.65Net Profit
19.899PSR
0.843Sharpe Ratio
0.009Alpha
0.265Beta
2.33CAR
3.9Drawdown
38Loss Rate
24Parameters
1Security Types
0.4742Sortino Ratio
4762Tradeable Dates
880Trades
0.062Treynor Ratio
62Win Rate
334179.115Net Profit
83.985PSR
1.579Sharpe Ratio
0.566Alpha
0.698Beta
80.898CAR
49.5Drawdown
-1.58Loss Rate
0Parameters
0Security Types
1.493Sortino Ratio
3446Tradeable Dates
116Trades
0.904Treynor Ratio
47.1Win Rate
307.216Net Profit
22.011PSR
0.853Sharpe Ratio
0Alpha
0Beta
7.864CAR
14Drawdown
38Loss Rate
24Parameters
1Security Types
0.246Sortino Ratio
4665Tradeable Dates
1349Trades
0Treynor Ratio
62Win Rate
2434.93Net Profit
87.622PSR
1.429Sharpe Ratio
0Alpha
0Beta
26.953CAR
18.2Drawdown
-0.33Loss Rate
0Parameters
1Security Types
2.258Sortino Ratio
3407Tradeable Dates
1198Trades
0Treynor Ratio
1.16Win Rate
94322.516Net Profit
96.613PSR
1.879Sharpe Ratio
0Alpha
0Beta
69.051CAR
34.5Drawdown
-0.16Loss Rate
38Parameters
0Security Types
2.851Sortino Ratio
3282Tradeable Dates
14123Trades
0Treynor Ratio
0.21Win Rate
400.322Net Profit
3.696PSR
0.639Sharpe Ratio
0.081Alpha
0.026Beta
9.098CAR
19.1Drawdown
35Loss Rate
24Parameters
1Security Types
0.167Sortino Ratio
4651Tradeable Dates
1474Trades
3.176Treynor Ratio
65Win Rate
948.173Net Profit
80.525PSR
1.309Sharpe Ratio
0Alpha
0Beta
19.029CAR
16.4Drawdown
-0.13Loss Rate
0Parameters
1Security Types
1.984Sortino Ratio
3393Tradeable Dates
2459Trades
0Treynor Ratio
0.37Win Rate
2991.958Net Profit
91.855PSR
1.508Sharpe Ratio
0.239Alpha
0.107Beta
28.975CAR
18Drawdown
-0.28Loss Rate
0Parameters
1Security Types
2.338Sortino Ratio
3392Tradeable Dates
1960Trades
2.335Treynor Ratio
0.67Win Rate
700271.931Net Profit
93.166PSR
1.919Sharpe Ratio
0Alpha
0Beta
92.841CAR
40.6Drawdown
-0.63Loss Rate
37Parameters
1Security Types
2.669Sortino Ratio
3391Tradeable Dates
2567Trades
0Treynor Ratio
1.82Win Rate
314.815Net Profit
13.916PSR
0.794Sharpe Ratio
0.068Alpha
0.013Beta
8.034CAR
13.9Drawdown
28Loss Rate
24Parameters
1Security Types
0.1876Sortino Ratio
4631Tradeable Dates
1546Trades
5.248Treynor Ratio
72Win Rate
79.223Net Profit
3.49PSR
0.619Sharpe Ratio
0.026Alpha
0.018Beta
3.22CAR
12.1Drawdown
32Loss Rate
24Parameters
1Security Types
0.129Sortino Ratio
4631Tradeable Dates
1818Trades
1.524Treynor Ratio
68Win Rate
161.065Net Profit
3.563PSR
0.597Sharpe Ratio
0.058Alpha
-0.001Beta
6.496CAR
25Drawdown
42Loss Rate
15Parameters
1Security Types
0.2843Sortino Ratio
3834Tradeable Dates
1169Trades
-55.671Treynor Ratio
58Win Rate
48.321Net Profit
28.334PSR
0.878Sharpe Ratio
0.02Alpha
0.007Beta
2.457CAR
4Drawdown
41Loss Rate
15Parameters
1Security Types
0.7582Sortino Ratio
4086Tradeable Dates
759Trades
2.929Treynor Ratio
59Win Rate
229.019Net Profit
4.949PSR
0.644Sharpe Ratio
0.067Alpha
0.011Beta
7.609CAR
14.2Drawdown
40Loss Rate
15Parameters
1Security Types
0.2506Sortino Ratio
4085Tradeable Dates
954Trades
6.42Treynor Ratio
60Win Rate
Todd left a comment in the discussion The In & Out Strategy - Continued from Quantopian
I pulled this from one of my archived presentations circa 2017. My thoughts on robust risk...
Todd started the discussion Rotational Bond Strategy
First post on QC since migrating from Quantopian and wanted to push out to the community a strategy...
Todd left a comment in the discussion The In & Out Strategy - Continued from Quantopian
There has been discussions across this and other threads regarding bonds (TLT / SHY) and what we...
Todd left a comment in the discussion The In & Out Strategy - Continued from Quantopian
I pulled this from one of my archived presentations circa 2017. My thoughts on robust risk...
2 years ago