Xi.J.L
Quant
Date Joined
14th December, 2021
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32% Complete
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2021-12-17 07:16:02
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2022-12-22 04:18:40
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2021-12-14 12:05:31
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Public Backtests (4)
View More-1.489Net Profit
17.037PSR
-2.717Sharpe Ratio
0.136Alpha
0.939Beta
-37.556CAR
2.1Drawdown
-0.36Loss Rate
5Parameters
0Security Types
8Tradeable Dates
4Trades
-0.3Treynor Ratio
0.68Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
3Parameters
0Security Types
7.9228162514264E+28Sortino Ratio
4Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
3Parameters
0Security Types
7.9228162514264E+28Sortino Ratio
4Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0.182Net Profit
41.556PSR
0.765Sharpe Ratio
0Alpha
0.017Beta
0.361CAR
0.3Drawdown
-0.32Loss Rate
7Parameters
2Security Types
1.484Sortino Ratio
133Tradeable Dates
2Trades
0.166Treynor Ratio
0Win Rate
Community
View MoreXi.J.L started the discussion Question regarding behaviour of short options at expiry in Backtest. Odd lot after assignment?
Hi team.
Xi.J.L started the discussion [BUG?] self.History in backtest returns result with bar of the same day even before market open of that day
I'm trying to train a model before the market open every day, but it seems in backtest model, the...
Xi.J.L started the discussion Backtest url provided by lean cloud backtest won't open the backtest web page
backtest URL provided by lean cloud backtest won't open the page for that specific backtest,...
Xi.J.L started the discussion [Question] How do I access Yield Curve and Vol surface data in strategy?
I want to get greeks of my portfolio, but seems I can only get for each option in data, option...
-1.489Net Profit
17.037PSR
-2.717Sharpe Ratio
0.136Alpha
0.939Beta
-37.556CAR
2.1Drawdown
-0.36Loss Rate
5Parameters
0Security Types
8Tradeable Dates
4Trades
-0.3Treynor Ratio
0.68Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
3Parameters
0Security Types
7.9228162514264E+28Sortino Ratio
4Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
3Parameters
0Security Types
7.9228162514264E+28Sortino Ratio
4Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0.182Net Profit
41.556PSR
0.765Sharpe Ratio
0Alpha
0.017Beta
0.361CAR
0.3Drawdown
-0.32Loss Rate
7Parameters
2Security Types
1.484Sortino Ratio
133Tradeable Dates
2Trades
0.166Treynor Ratio
0Win Rate
Xi.J.L started the discussion Question regarding behaviour of short options at expiry in Backtest. Odd lot after assignment?
Hi team.
Xi.J.L left a comment in the discussion Question regarding behaviour of short options at expiry in Backtest. Odd lot after assignment?
Sorry. Please ignore the question I miss read the log. Thanks
Xi.J.L started the discussion [BUG?] self.History in backtest returns result with bar of the same day even before market open of that day
I'm trying to train a model before the market open every day, but it seems in backtest model, the...
Xi.J.L started the discussion Backtest url provided by lean cloud backtest won't open the backtest web page
backtest URL provided by lean cloud backtest won't open the page for that specific backtest,...
Xi.J.L started the discussion [Question] How do I access Yield Curve and Vol surface data in strategy?
I want to get greeks of my portfolio, but seems I can only get for each option in data, option...
Xi.J.L started the discussion [Question] Why option greeks need warm up?
I notice in some thread discussions, warming up is said to be needed for greeks calculation. I'm...
Xi.J.L left a comment in the discussion [Question] Why option greeks need warm up?
Hi Varad,
Xi.J.L left a comment in the discussion Index options expiration behaviour
Hi Alex,
Xi.J.L left a comment in the discussion [BUG?] self.History in backtest returns result with bar of the same day even before market open of that day
Thanks a lot, Arthur, will try SPY. It is SPX option that I am trying to trade in my strategy, not...
Xi.J.L left a comment in the discussion [BUG?] self.History in backtest returns result with bar of the same day even before market open of that day
Hi Arthur,
Xi.J.L left a comment in the discussion [BUG?] self.History in backtest returns result with bar of the same day even before market open of that day
Hi Arthur, Thanks a lot for the answer.
Xi.J.L started the discussion Index options expiration behaviour
My understanding is that index options are cash-settled, if expired in the money the option will be...
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Xi.J.L left a comment in the discussion Question regarding behaviour of short options at expiry in Backtest. Odd lot after assignment?
Sorry. Please ignore the question I miss read the log. Thanks
1 years ago