Valery T
Quant
Date Joined
22nd May, 2015
Bootcamp progress
2% Complete
Achievements
Algorithm Sharing
Share an algorithm with the community by making your algorithm public.
2018-05-06 15:34:13
Backtester
Run at least 100 backtests on QuantConnect's cloud.
2018-01-27 19:48:29
Live Trading
Deploy a live trading algorithm using one of QuantConnect's supported brokerages.
2019-05-09 21:15:53
Parallel Live Trading
Run multiple live algorithms simultaneously.
2019-09-05 15:20:17
Cloner
Clone at least 100 algorithms from the community.
2019-12-05 00:14:19
C# Programming
Choose C# as your preferred programming language.
2019-05-08 19:30:28
Python Programming
Choose Python as your preferred programming language.
2019-04-22 20:50:46
Investor
2022-12-12 21:13:56
- Profile
- Backtests
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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 (20)
View More7.6Net Profit
55.576PSR
1.226Sharpe Ratio
0.13Alpha
-0.037Beta
19.283CAR
11.3Drawdown
-21.55Loss Rate
0Parameters
0Security Types
104Tradeable Dates
18Trades
-3.743Treynor Ratio
31.04Win Rate
-0.607Net Profit
0PSR
-6.864Sharpe Ratio
0.168Alpha
-13.112Beta
-42.649CAR
1Drawdown
-0.14Loss Rate
47Parameters
0Security Types
7.9228162514264E+28Sortino Ratio
2Tradeable Dates
12Trades
0.035Treynor Ratio
0Win Rate
-0.076Net Profit
0PSR
-19.087Sharpe Ratio
0Alpha
0Beta
-12.928CAR
0.1Drawdown
-0.05Loss Rate
2Parameters
0Security Types
-61.848Sortino Ratio
1Tradeable Dates
7Trades
0Treynor Ratio
0.03Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
4Parameters
0Security Types
7.9228162514264E+28Sortino Ratio
1Tradeable Dates
75Trades
0Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
4Parameters
0Security Types
7.9228162514264E+28Sortino Ratio
1Tradeable Dates
4323Trades
0Treynor Ratio
0Win Rate
Community
View MoreValery left a comment in the discussion Jupyter kernel keeps dieing/disconnecting
Hi Shile,
Valery left a comment in the discussion Has anyone tried to migrate this amazing "Long only non day trading for live" algo from Quantopian?
>>It performed really well in backtesting on quantopian.<<
Valery left a comment in the discussion Making friends and trading together,
Hi Domenico,
Valery started the discussion How do I detect a margin call after failed option assignment?
How do I detect a margin call after failed option assignment (because of unsufficient buying power)?
7.6Net Profit
55.576PSR
1.226Sharpe Ratio
0.13Alpha
-0.037Beta
19.283CAR
11.3Drawdown
-21.55Loss Rate
0Parameters
0Security Types
104Tradeable Dates
18Trades
-3.743Treynor Ratio
31.04Win Rate
-0.607Net Profit
0PSR
-6.864Sharpe Ratio
0.168Alpha
-13.112Beta
-42.649CAR
1Drawdown
-0.14Loss Rate
47Parameters
0Security Types
7.9228162514264E+28Sortino Ratio
2Tradeable Dates
12Trades
0.035Treynor Ratio
0Win Rate
-0.076Net Profit
0PSR
-19.087Sharpe Ratio
0Alpha
0Beta
-12.928CAR
0.1Drawdown
-0.05Loss Rate
2Parameters
0Security Types
-61.848Sortino Ratio
1Tradeable Dates
7Trades
0Treynor Ratio
0.03Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
4Parameters
0Security Types
7.9228162514264E+28Sortino Ratio
1Tradeable Dates
75Trades
0Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
4Parameters
0Security Types
7.9228162514264E+28Sortino Ratio
1Tradeable Dates
4323Trades
0Treynor Ratio
0Win Rate
16.194Net Profit
0.032PSR
0.145Sharpe Ratio
-0.03Alpha
0.45Beta
1.152CAR
29.9Drawdown
-0.03Loss Rate
5Parameters
0Security Types
0.16Sortino Ratio
3297Tradeable Dates
6549Trades
0.033Treynor Ratio
0.03Win Rate
-25.201Net Profit
0PSR
-0.313Sharpe Ratio
-0.018Alpha
-0.012Beta
-2.589CAR
36Drawdown
22Loss Rate
11Parameters
1Security Types
-0.0324Sortino Ratio
3454Tradeable Dates
4951Trades
1.561Treynor Ratio
78Win Rate
-48.563Net Profit
0PSR
-0.482Sharpe Ratio
-0.043Alpha
-0.007Beta
-5.83CAR
58.4Drawdown
26Loss Rate
11Parameters
1Security Types
-0.0275Sortino Ratio
3426Tradeable Dates
8781Trades
5.814Treynor Ratio
74Win Rate
8Parameters
0Security Types
3524Tradeable Dates
22Parameters
1Security Types
608Tradeable Dates
-12.718Net Profit
-10.248Sharpe Ratio
-0.144Alpha
0.429Beta
-12.729CAR
12.7Drawdown
87Loss Rate
1Security Types
-0.00026588352074209Sortino Ratio
252Tradeable Dates
4824Trades
-0.316Treynor Ratio
13Win Rate
-26.973Net Profit
-1.023Sharpe Ratio
-0.368Alpha
0.769Beta
-27.1CAR
27.1Drawdown
57Loss Rate
1Security Types
-0.22030682553581Sortino Ratio
250Tradeable Dates
150Trades
-0.36Treynor Ratio
43Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
2Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
2Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
83Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
240.209Net Profit
0.965Sharpe Ratio
0.186Alpha
-5.984Beta
10.76CAR
13.9Drawdown
30Loss Rate
1Security Types
0.19083965824414Sortino Ratio
3015Tradeable Dates
569Trades
-0.015Treynor Ratio
70Win Rate
-23.97Net Profit
-2.078Sharpe Ratio
-1.148Alpha
-0.374Beta
-80.892CAR
25.6Drawdown
100Loss Rate
1Security Types
-0.44173029766382Sortino Ratio
34Tradeable Dates
1564Trades
3.171Treynor Ratio
0Win Rate
-3.202Net Profit
0Sharpe Ratio
0Alpha
0Beta
-100CAR
3.9Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
1Tradeable Dates
1Trades
0Treynor Ratio
0Win Rate
-0.057Net Profit
-3.634Sharpe Ratio
-0.004Alpha
-0.005Beta
-0.501CAR
0.1Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
21Tradeable Dates
4Trades
0.936Treynor Ratio
0Win Rate
-0.048Net Profit
-2.868Sharpe Ratio
-0.006Alpha
0Beta
-0.683CAR
0.1Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
17Tradeable Dates
4Trades
-30.337Treynor Ratio
0Win Rate
Valery left a comment in the discussion Live Forex trading strategy with triple EMA
Hi Mykola,
Valery left a comment in the discussion Jupyter kernel keeps dieing/disconnecting
Hi Shile,
Valery left a comment in the discussion Has anyone tried to migrate this amazing "Long only non day trading for live" algo from Quantopian?
>>It performed really well in backtesting on quantopian.<<
Valery left a comment in the discussion Making friends and trading together,
Hi Domenico,
Valery started the discussion How do I detect a margin call after failed option assignment?
How do I detect a margin call after failed option assignment (because of unsufficient buying power)?
Valery left a comment in the discussion How do I detect a margin call after failed option assignment?
Alexandre,
Valery started the discussion Getting current data in scheduled event
I am trying to get current price in scheduled event handler:
Valery started the discussion Alpaca partial fill interpreted incorrectly by LEAN engine
During Alpaca live paper trading I received the following messages:
Valery started the discussion How to un-register an indicator?
There is RegisterIndicator method, but no UnRegisterIndicator method.
Valery started the discussion How Do I access a particular security in DataFrame returned by History?
history = self.History(symbols, 2, Resolution.Daily)
Valery started the discussion How do I access a particular security in DataFrame returned by History?
history = self.History(symbols, 2, Resolution.Daily)
Valery started the discussion Behavior of technical indicators with universe
When a stock is removed from the universe, what happens to the updates to the technical indicators?
Valery left a comment in the discussion From Research To Production: Kalman Filters and Pairs Trading
What is the purpose of generating insights _and_ market orders at the same time? How the insights...
Valery started the discussion Value of Greeks.Delta is always 0
Value of Greeks.Delta is always 0.
Valery started the discussion How do I specify filter for monthly contracts?
How do I specify filter for monthly contracts in C#?
Valery started the discussion Option.SetFilter does not work for expiration date
The following call does not limit expiration dates returned in OnData():
Valery started the discussion Feature request: Smart Pricing
This feature gives big advantage in options trading:
Valery started the discussion Hedging RUT Spreads with TF Futures
fhttp://www.interactivebrokers.com/download/en/Hedging_RUT_with_TF.pdf
Valery started the discussion How do I debug fatal error in the mono runtime?
I got this error:
Valery started the discussion How do I know that stock split is coming?
I want to avoid trading options if a stock split is coming.
Valery started the discussion Warning 'Symbol.implicit operator string(Symbol)' is obsolete
I am getting the following warning:
Valery started the discussion Sharpe 13, performance 66%
This algo:
Valery started the discussion How can I exclude biotech industry?
My fundamental algo picks biotech and oil/gas stocks. I want to exclude them.
Valery started the discussion Variation of Correlation and Cointegration Approach
This is a variation of:
Valery started the discussion How do I get indicator value from N days ago?
I want to get RSI value from 15 days ago. How do I do that?
Valery started the discussion How can I plot price with buy/sell overlay on the same chart with other indicators?
I would like to plot stock price with buy/sell overlay next to RSI, MACD, etc. indicators.
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Valery left a comment in the discussion Live Forex trading strategy with triple EMA
Hi Mykola,
3 years ago