cover
  • Profile
  • Backtests
  • Community

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 (21)

View More
Institutional Bond Shared

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

KEI Portfolio Strategy Shared

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

Hedged Indexes Shared

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

Agile Tactical Equity 1x Shared

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

Agile Core Equity Production Shared

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


Community

View More

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

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...

3 years ago

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...

3 years ago

Institutional Bond Shared

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

KEI Portfolio Strategy Shared

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

Hedged Indexes Shared

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

Agile Tactical Equity 1x Shared

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

Agile Core Equity Production Shared

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

Jumping Blue Hyena

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

Swimming Black Lemur

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

Formal Magenta Crocodile

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

Pensive Blue Beaver

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

Square Tan Bee

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

Core Equity Paper Walk Forward 1 x

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

Formal Light Brown Goat

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

Global Macro Backtest

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

RETAIL PROD - 60% Invested, N=25

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

Calm Fluorescent Orange Jellyfish

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

Swimming Black Jellyfish

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

Virtual Yellow Scorpion

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

Determined Blue Fox

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

Smooth Tan Alligator

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

Retrospective Black Lion

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

Alert Tan Alpaca

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...

2 years ago

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...

3 years ago

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...

3 years ago