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-0.001Net Profit
1.665PSR
-5.348Sharpe Ratio
0Alpha
0Beta
-0.021CAR
0Drawdown
0Loss Rate
5Parameters
1Security Types
0Sortino Ratio
0Tradeable Dates
208Trades
-1.428Treynor Ratio
0Win Rate
0.005Net Profit
0.098PSR
0.254Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
5Parameters
1Security Types
0.331Sortino Ratio
0Tradeable Dates
211Trades
0.05Treynor Ratio
0Win Rate
14.172Net Profit
18.559PSR
0.409Sharpe Ratio
0.096Alpha
-0.107Beta
9.227CAR
22.7Drawdown
-0.89Loss Rate
0Parameters
2Security Types
0.478Sortino Ratio
548Tradeable Dates
449Trades
-0.817Treynor Ratio
1.28Win Rate
Tom started the discussion MorningstarIndustryCodes ... lookahead bias free?
Apologies if I missed this in the documentation. Are all of the morninstar industry classifications...
Tom started the discussion Continuous futures backtest not working on IDE 3.0 (works on 2.0)
Yesterday I was using IDE 2.0 (IDE 3.0 was acting very slow for a few hours there) and ran the...
Tom started the discussion Retrieve both raw and adjusted historical data in algorithm (equities, universe selection)
Assume I want to screen for both low volatility and low PE versus history stocks. My universe is...
Tom started the discussion Survivorship Bias issues in universe selection (equities)
Hi all, just wanted to share this with the broader forums, since I assume many are like me in that...
-0.001Net Profit
1.665PSR
-5.348Sharpe Ratio
0Alpha
0Beta
-0.021CAR
0Drawdown
0Loss Rate
5Parameters
1Security Types
0Sortino Ratio
0Tradeable Dates
208Trades
-1.428Treynor Ratio
0Win Rate
0.005Net Profit
0.098PSR
0.254Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
5Parameters
1Security Types
0.331Sortino Ratio
0Tradeable Dates
211Trades
0.05Treynor Ratio
0Win Rate
14.172Net Profit
18.559PSR
0.409Sharpe Ratio
0.096Alpha
-0.107Beta
9.227CAR
22.7Drawdown
-0.89Loss Rate
0Parameters
2Security Types
0.478Sortino Ratio
548Tradeable Dates
449Trades
-0.817Treynor Ratio
1.28Win Rate
Tom started the discussion MorningstarIndustryCodes ... lookahead bias free?
Apologies if I missed this in the documentation. Are all of the morninstar industry classifications...
Tom started the discussion Continuous futures backtest not working on IDE 3.0 (works on 2.0)
Yesterday I was using IDE 2.0 (IDE 3.0 was acting very slow for a few hours there) and ran the...
Tom started the discussion Retrieve both raw and adjusted historical data in algorithm (equities, universe selection)
Assume I want to screen for both low volatility and low PE versus history stocks. My universe is...
Tom started the discussion Survivorship Bias issues in universe selection (equities)
Hi all, just wanted to share this with the broader forums, since I assume many are like me in that...
Tom left a comment in the discussion TIER,EXL,AEC,MORE,TWC, Daily The issue starts from Jan 1st, 2015; and continues until now
Hi, any update here?
Tom left a comment in the discussion Factor Investing In QuantConnect - Research Notebook & Backtesting Algorithm
Derek Melchin Could you please elaborate here, re: how to use fundamental factors in this...
Tom left a comment in the discussion MorningstarIndustryCodes ... lookahead bias free?
Thanks Louis. Two follow ups:1) When you say you will only reprocess data if Morningstar does so....
Tom left a comment in the discussion Factor Investing In QuantConnect - Research Notebook & Backtesting Algorithm
This is awesome, thanks Emilio Freire ! Few questions for you:
Tom left a comment in the discussion Continuous Futures Support
Thanks Flame … I am having other issues with continuous futures at the moment (see attached...
Tom left a comment in the discussion Crypto Coarse Universe Selection is now Available
This is great, thanks!I am having trouble using a margin account with this framework. If I change...
Tom started the discussion Add indicators to fine fundamental filter
Hi - I am wondering how i might include momentum (e.g., 12-1, sector relative, etc.), or include...
Tom started the discussion Download Equity Curve
Is there a way to download the equity curve to CSV of a backtest?
Tom left a comment in the discussion TIER,EXL,AEC,MORE,TWC, Daily The issue starts from Jan 1st, 2015; and continues until now
Hi, any update here?
2 years ago