Yan Xiaowei
Quant
Date Joined
13th April, 2017
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0% Complete
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Receive at least 10 upvotes from different users in the community.
2020-01-11 23:41:28
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Activity on QuantConnect
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Public Backtests (12)
View More4.365Net Profit
2.321Sharpe Ratio
-0.023Alpha
0.729Beta
29.68CAR
2.7Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
41Tradeable Dates
3Trades
0.295Treynor Ratio
100Win Rate
89.329Net Profit
1.679Sharpe Ratio
0.209Alpha
-0.068Beta
27.088CAR
14Drawdown
73Loss Rate
1Security Types
0.17997384410558Sortino Ratio
670Tradeable Dates
1964Trades
-2.984Treynor Ratio
27Win Rate
165.235Net Profit
0.672Sharpe Ratio
0.124Alpha
-0.03Beta
13.575CAR
28.4Drawdown
31Loss Rate
1Security Types
0.41576695547775Sortino Ratio
1927Tradeable Dates
73Trades
-3.971Treynor Ratio
69Win Rate
111.789Net Profit
1.821Sharpe Ratio
0.245Alpha
-0.059Beta
32.745CAR
15.1Drawdown
74Loss Rate
1Security Types
0.19492212276042Sortino Ratio
667Tradeable Dates
1963Trades
-4.076Treynor Ratio
26Win Rate
278.341Net Profit
0.75Sharpe Ratio
0.073Alpha
0.69Beta
14.236CAR
40.9Drawdown
69Loss Rate
1Security Types
0.12331217352588Sortino Ratio
2517Tradeable Dates
5778Trades
0.177Treynor Ratio
31Win Rate
Community
View MoreYan started the discussion Ernie Chan's EWA/EWC Pair Trade with Kalman Filter
In order to try the example in Ernie Chan's book( Algorithmic Trading: Winning Strategies...
Yan started the discussion Trend Follow Algorithms based on Daily Regression Line
This algorithm trades ETFs according to the trend from regression. The regression uses half-year...
Yan left a comment in the discussion Pandas.DataFrame from History method
If your stock list is very long, you can do the conversion in two lines:
Yan left a comment in the discussion Daily and minute data in same algo.
Hi Warren Harding . Yes! definitely you can. Here is a simple example:
4.365Net Profit
2.321Sharpe Ratio
-0.023Alpha
0.729Beta
29.68CAR
2.7Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
41Tradeable Dates
3Trades
0.295Treynor Ratio
100Win Rate
89.329Net Profit
1.679Sharpe Ratio
0.209Alpha
-0.068Beta
27.088CAR
14Drawdown
73Loss Rate
1Security Types
0.17997384410558Sortino Ratio
670Tradeable Dates
1964Trades
-2.984Treynor Ratio
27Win Rate
165.235Net Profit
0.672Sharpe Ratio
0.124Alpha
-0.03Beta
13.575CAR
28.4Drawdown
31Loss Rate
1Security Types
0.41576695547775Sortino Ratio
1927Tradeable Dates
73Trades
-3.971Treynor Ratio
69Win Rate
111.789Net Profit
1.821Sharpe Ratio
0.245Alpha
-0.059Beta
32.745CAR
15.1Drawdown
74Loss Rate
1Security Types
0.19492212276042Sortino Ratio
667Tradeable Dates
1963Trades
-4.076Treynor Ratio
26Win Rate
278.341Net Profit
0.75Sharpe Ratio
0.073Alpha
0.69Beta
14.236CAR
40.9Drawdown
69Loss Rate
1Security Types
0.12331217352588Sortino Ratio
2517Tradeable Dates
5778Trades
0.177Treynor Ratio
31Win Rate
8.232Net Profit
2.205Sharpe Ratio
0.355Alpha
1.255Beta
63.135CAR
3.8Drawdown
43Loss Rate
1Security Types
0.20900473974414Sortino Ratio
0Tradeable Dates
33Trades
0.332Treynor Ratio
57Win Rate
17.868Net Profit
0.323Sharpe Ratio
0.025Alpha
0.032Beta
2.796CAR
11.2Drawdown
50Loss Rate
1Security Types
0.060526710895805Sortino Ratio
0Tradeable Dates
1728Trades
0.802Treynor Ratio
50Win Rate
-17.781Net Profit
-1.504Sharpe Ratio
-0.137Alpha
0.128Beta
-17.102CAR
18.4Drawdown
56Loss Rate
1Security Types
-0.16393883490807Sortino Ratio
0Tradeable Dates
87Trades
-0.992Treynor Ratio
44Win Rate
75.371Net Profit
0.901Sharpe Ratio
0.172Alpha
-0.012Beta
20.572CAR
20.7Drawdown
40Loss Rate
1Security Types
0.38900322525733Sortino Ratio
0Tradeable Dates
1216Trades
-13.992Treynor Ratio
60Win Rate
50.814Net Profit
0.89Sharpe Ratio
0.055Alpha
0.877Beta
14.678CAR
16.4Drawdown
45Loss Rate
1Security Types
0.10107862978783Sortino Ratio
0Tradeable Dates
1195Trades
0.138Treynor Ratio
55Win Rate
187.791Net Profit
1.858Sharpe Ratio
0.291Alpha
0.139Beta
42.241CAR
14.2Drawdown
35Loss Rate
1Security Types
0.49049115571401Sortino Ratio
0Tradeable Dates
147Trades
2.163Treynor Ratio
65Win Rate
101.877Net Profit
0.816Sharpe Ratio
0.162Alpha
-0.101Beta
17.951CAR
29.9Drawdown
50Loss Rate
1Security Types
0.11444979035845Sortino Ratio
1069Tradeable Dates
327Trades
-1.504Treynor Ratio
50Win Rate
Yan started the discussion Ernie Chan's EWA/EWC Pair Trade with Kalman Filter
In order to try the example in Ernie Chan's book( Algorithmic Trading: Winning Strategies...
Yan started the discussion Trend Follow Algorithms based on Daily Regression Line
This algorithm trades ETFs according to the trend from regression. The regression uses half-year...
Yan left a comment in the discussion Pairs Trading - Copula Method vs Cointegration
Hi Karen Chaltikian Thank you for your question! It's a very interesting perspective.
Yan left a comment in the discussion Pandas.DataFrame from History method
If your stock list is very long, you can do the conversion in two lines:
Yan left a comment in the discussion Daily and minute data in same algo.
Hi Warren Harding . Yes! definitely you can. Here is a simple example:
Yan left a comment in the discussion Check if History() actually worked?
Hi Tayer, If you want to validate date, you can check TradeBar.EndTime. My Common method is to put...
Yan left a comment in the discussion Check if History() actually worked?
Hi Tayler Allen
Yan left a comment in the discussion "Runtime Error: '...' wasn't found in the TradeBars object" when dealing with universe of stocks
Hi Sofyan Saputra
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Yan left a comment in the discussion Pairs Trading - Copula Method vs Cointegration
Hi Karen Chaltikian Thank you for your question! It's a very interesting perspective.
7 years ago