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4.937Net Profit
0PSR
132.787Sharpe Ratio
61.431Alpha
-1.589Beta
8021.44CAR
1.6Drawdown
0Loss Rate
0Parameters
0Security Types
4Tradeable Dates
2Trades
-37.81Treynor Ratio
4.94Win Rate
7.314Net Profit
42.008PSR
0.808Sharpe Ratio
0.712Alpha
-0.456Beta
28.42CAR
32.8Drawdown
29Loss Rate
0Parameters
1Security Types
0.411Sortino Ratio
73Tradeable Dates
84Trades
-1.437Treynor Ratio
71Win Rate
28.914Net Profit
100PSR
2426.933Sharpe Ratio
1410.047Alpha
-2.748Beta
1061373.816CAR
1.1Drawdown
0Loss Rate
0Parameters
1Security Types
0Sortino Ratio
8Tradeable Dates
10Trades
-512.552Treynor Ratio
100Win Rate
2.746Net Profit
78.315PSR
7.044Sharpe Ratio
1.656Alpha
-0.865Beta
168.796CAR
16.1Drawdown
40Loss Rate
0Parameters
1Security Types
0Sortino Ratio
8Tradeable Dates
10Trades
-1.275Treynor Ratio
60Win Rate
-1.894Net Profit
1.58PSR
-4.242Sharpe Ratio
-0.407Alpha
-0.01Beta
-44.095CAR
2.5Drawdown
50Loss Rate
0Parameters
1Security Types
0Sortino Ratio
8Tradeable Dates
12Trades
42.003Treynor Ratio
50Win Rate
Zach left a comment in the discussion ETF Trend Following Algorithm
This is a really interesting algo -- but I'm having trouble getting it working, even with the...
Zach left a comment in the discussion From Research To Production: Uncorrelated Assets
Thanks... I can't find any examples of just Symbol being used (aside from in like init) -- can you...
Zach left a comment in the discussion From Research To Production: Uncorrelated Assets
My questions (In OnSecuritiesChanged) --
Zach left a comment in the discussion From Research To Production: Uncorrelated Assets
I have tried running the little GetUncorrelated loop in Fine, and in OnSecuritesChanged
4.937Net Profit
0PSR
132.787Sharpe Ratio
61.431Alpha
-1.589Beta
8021.44CAR
1.6Drawdown
0Loss Rate
0Parameters
0Security Types
4Tradeable Dates
2Trades
-37.81Treynor Ratio
4.94Win Rate
7.314Net Profit
42.008PSR
0.808Sharpe Ratio
0.712Alpha
-0.456Beta
28.42CAR
32.8Drawdown
29Loss Rate
0Parameters
1Security Types
0.411Sortino Ratio
73Tradeable Dates
84Trades
-1.437Treynor Ratio
71Win Rate
28.914Net Profit
100PSR
2426.933Sharpe Ratio
1410.047Alpha
-2.748Beta
1061373.816CAR
1.1Drawdown
0Loss Rate
0Parameters
1Security Types
0Sortino Ratio
8Tradeable Dates
10Trades
-512.552Treynor Ratio
100Win Rate
2.746Net Profit
78.315PSR
7.044Sharpe Ratio
1.656Alpha
-0.865Beta
168.796CAR
16.1Drawdown
40Loss Rate
0Parameters
1Security Types
0Sortino Ratio
8Tradeable Dates
10Trades
-1.275Treynor Ratio
60Win Rate
-1.894Net Profit
1.58PSR
-4.242Sharpe Ratio
-0.407Alpha
-0.01Beta
-44.095CAR
2.5Drawdown
50Loss Rate
0Parameters
1Security Types
0Sortino Ratio
8Tradeable Dates
12Trades
42.003Treynor Ratio
50Win Rate
-13.103Net Profit
13.802PSR
-1.218Sharpe Ratio
-0.485Alpha
0.216Beta
-57.445CAR
19.3Drawdown
0Loss Rate
0Parameters
1Security Types
-2.318Sortino Ratio
40Tradeable Dates
41Trades
-2.156Treynor Ratio
0Win Rate
27.516Net Profit
69.3PSR
12.108Sharpe Ratio
15.015Alpha
-3.517Beta
1824.749CAR
18.4Drawdown
-2.52Loss Rate
28Parameters
0Security Types
20Tradeable Dates
62Trades
-3.997Treynor Ratio
7.24Win Rate
3.305Net Profit
99.571PSR
4.296Sharpe Ratio
0.103Alpha
0.035Beta
24.754CAR
0.5Drawdown
-0.09Loss Rate
55Parameters
0Security Types
37Tradeable Dates
776Trades
2.956Treynor Ratio
0.09Win Rate
-0.967Net Profit
0.666PSR
-0.81Sharpe Ratio
-0.016Alpha
0.044Beta
-0.323CAR
2.5Drawdown
-0.22Loss Rate
0Parameters
0Security Types
911Tradeable Dates
498Trades
-0.217Treynor Ratio
0.41Win Rate
-5.538Net Profit
2.163PSR
-0.437Sharpe Ratio
-0.049Alpha
0.369Beta
-2.412CAR
20.2Drawdown
-0.3Loss Rate
0Parameters
0Security Types
707Tradeable Dates
2208Trades
-0.132Treynor Ratio
0.53Win Rate
4.428Net Profit
81.424PSR
3.69Sharpe Ratio
0.214Alpha
-0.166Beta
52.157CAR
2.1Drawdown
-0.22Loss Rate
0Parameters
0Security Types
32Tradeable Dates
98Trades
-1.573Treynor Ratio
0.62Win Rate
7.605Net Profit
96.353PSR
2.55Sharpe Ratio
0.172Alpha
-0.044Beta
32.283CAR
1.6Drawdown
49Loss Rate
51Parameters
1Security Types
4.692Sortino Ratio
66Tradeable Dates
256Trades
-3.717Treynor Ratio
51Win Rate
7.605Net Profit
96.353PSR
2.55Sharpe Ratio
0.172Alpha
-0.044Beta
32.283CAR
1.6Drawdown
49Loss Rate
45Parameters
1Security Types
4.692Sortino Ratio
66Tradeable Dates
256Trades
-3.717Treynor Ratio
51Win Rate
2.484Net Profit
61.565PSR
0.504Sharpe Ratio
0.047Alpha
-0.065Beta
11.749CAR
1.4Drawdown
-0.17Loss Rate
45Parameters
0Security Types
56Tradeable Dates
242Trades
-0.414Treynor Ratio
0.25Win Rate
-10.119Net Profit
2.107PSR
-0.397Sharpe Ratio
-0.067Alpha
0.665Beta
-4.806CAR
25.4Drawdown
-0.11Loss Rate
16Parameters
0Security Types
543Tradeable Dates
9309Trades
-0.089Treynor Ratio
0.46Win Rate
13.359Net Profit
34.164PSR
0.07Sharpe Ratio
-0.015Alpha
0.203Beta
8.715CAR
6.4Drawdown
-0.49Loss Rate
12Parameters
0Security Types
376Tradeable Dates
374Trades
0.024Treynor Ratio
0.58Win Rate
76.14Net Profit
56.339PSR
0.899Sharpe Ratio
0.068Alpha
0.185Beta
14.762CAR
8Drawdown
-0.2Loss Rate
34Parameters
0Security Types
1034Tradeable Dates
4668Trades
0.452Treynor Ratio
0.21Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
3Parameters
0Security Types
2Tradeable Dates
3Trades
0Treynor Ratio
0Win Rate
6.455Net Profit
88.344PSR
1.488Sharpe Ratio
0.023Alpha
-0.003Beta
4.032CAR
1.4Drawdown
-0.07Loss Rate
0Parameters
0Security Types
397Tradeable Dates
4260Trades
-8.642Treynor Ratio
0.07Win Rate
-3.849Net Profit
0.034PSR
-1.535Sharpe Ratio
-0.024Alpha
0.007Beta
-1.113CAR
7.5Drawdown
-0.07Loss Rate
0Parameters
1Security Types
884Tradeable Dates
10138Trades
-3.185Treynor Ratio
0.07Win Rate
-0.147Net Profit
0.727PSR
-0.017Sharpe Ratio
0Alpha
-0.003Beta
-0.037CAR
2.6Drawdown
-0.06Loss Rate
44Parameters
0Security Types
1244Tradeable Dates
1254Trades
0.075Treynor Ratio
0.07Win Rate
-28.248Net Profit
19.664PSR
0.767Sharpe Ratio
0.846Alpha
-0.072Beta
-12.891CAR
96.1Drawdown
31Loss Rate
45Parameters
1Security Types
0.0042Sortino Ratio
747Tradeable Dates
2086Trades
-11.763Treynor Ratio
69Win Rate
-81.407Net Profit
0PSR
-1.47Sharpe Ratio
-0.516Alpha
0.587Beta
-70.743CAR
82.3Drawdown
-3.15Loss Rate
35Parameters
0Security Types
343Tradeable Dates
216Trades
-0.922Treynor Ratio
3.15Win Rate
-14.105Net Profit
5.082PSR
-0.159Sharpe Ratio
-0.014Alpha
0.639Beta
-10.513CAR
34.9Drawdown
-3.84Loss Rate
35Parameters
0Security Types
343Tradeable Dates
182Trades
-0.065Treynor Ratio
2.9Win Rate
54.788Net Profit
16.212PSR
0.562Sharpe Ratio
0Alpha
0Beta
15.419CAR
32.7Drawdown
-0.53Loss Rate
29Parameters
0Security Types
0Tradeable Dates
3128Trades
0Treynor Ratio
0.56Win Rate
1.464Net Profit
2.097PSR
0.08Sharpe Ratio
-0.012Alpha
0.224Beta
0.431CAR
23.6Drawdown
59Loss Rate
8Parameters
1Security Types
0.0149Sortino Ratio
852Tradeable Dates
1133Trades
0.037Treynor Ratio
41Win Rate
-0.075Net Profit
7.102PSR
-0.663Sharpe Ratio
-0.001Alpha
-0.003Beta
-0.151CAR
0.2Drawdown
60Loss Rate
13Parameters
2Security Types
0.0151Sortino Ratio
124Tradeable Dates
86Trades
0.323Treynor Ratio
40Win Rate
-0.688Net Profit
0PSR
-12.23Sharpe Ratio
0Alpha
0Beta
-30.229CAR
0.7Drawdown
-0.08Loss Rate
55Parameters
0Security Types
-14.595Sortino Ratio
5Tradeable Dates
67Trades
0Treynor Ratio
0Win Rate
-0.731Net Profit
0PSR
-13.1Sharpe Ratio
0Alpha
0Beta
-31.789CAR
0.7Drawdown
-0.07Loss Rate
55Parameters
0Security Types
-15.914Sortino Ratio
5Tradeable Dates
72Trades
0Treynor Ratio
0Win Rate
-0.682Net Profit
0PSR
-13.158Sharpe Ratio
0Alpha
0Beta
-30.02CAR
0.7Drawdown
-0.07Loss Rate
55Parameters
0Security Types
-15.996Sortino Ratio
5Tradeable Dates
74Trades
0Treynor Ratio
0Win Rate
Zach left a comment in the discussion ETF Trend Following Algorithm
Thanks ! It's very cool. It's like an MR take on Trend -- brilliant interpretation, and MUCH...
Zach left a comment in the discussion ETF Trend Following Algorithm
This is a really interesting algo -- but I'm having trouble getting it working, even with the...
Zach left a comment in the discussion From Research To Production: Uncorrelated Assets
Thanks... I can't find any examples of just Symbol being used (aside from in like init) -- can you...
Zach left a comment in the discussion From Research To Production: Uncorrelated Assets
My questions (In OnSecuritiesChanged) --
Zach left a comment in the discussion From Research To Production: Uncorrelated Assets
I have tried running the little GetUncorrelated loop in Fine, and in OnSecuritesChanged
Zach left a comment in the discussion From Research To Production: Uncorrelated Assets
def OnSecuritiesChanged (self, changes): symbols = [x.Symbol for x in...
Zach started the discussion Having trouble with UniverseFunction in my first strategy, please advise
Hello,
Zach started the discussion Cannot get Dividends to work.
I'm trying to use an Option strategy example as a basic template, but I'm trying to reference...
Zach left a comment in the discussion ETF Trend Following Algorithm
Thanks ! It's very cool. It's like an MR take on Trend -- brilliant interpretation, and MUCH...
3 years ago