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Biography

Quant Equities, Options, Futures, & FX Trader / PM with 10yrs experience & 70% YoY avg.

Activity on QuantConnect

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Public Backtests (432)

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Geeky Blue Seahorse

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

Virtual Red Orange Ant

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

Square Fluorescent Orange Frog

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

No stop, No targets -- but viable at a glance

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

v2

-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


Community

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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

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...

3 years ago

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...

4 years ago

Zach left a comment in the discussion From Research To Production: Uncorrelated Assets

My questions (In OnSecuritiesChanged) -- 

4 years ago

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 years ago

Geeky Blue Seahorse

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

Virtual Red Orange Ant

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

Square Fluorescent Orange Frog

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

No stop, No targets -- but viable at a glance

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

v2

-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

Adaptable Green Barracuda

-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

SHORT works

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

Upgraded Asparagus Salamander

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

no stops

-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

puts

-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

reformat

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

Sleepy Light Brown Jackal

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

Calm Fluorescent Orange Alpaca

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

YX-Taker-Maker

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

added entries per day -- set massive tho

-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

hyper-fit vwap mr

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

Complete Universe (Mag 7)

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

quote_bt_notebook

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

3Parameters

0Security Types

2Tradeable Dates

3Trades

0Treynor Ratio

0Win Rate

Regular -- Hourly -- Time Exit

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

Reverse Logic (Breakout)

-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

Energetic Magenta Eagle

-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

Logical Apricot Lemur

-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

Alert Fluorescent Orange Gull

-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

costs added

-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

Costs modelled + slippage defaulted

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

Calculating Orange Chinchilla

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

Jumping Apricot Chicken

-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

Resolved (NOT) replacing with replacing. Cancels, then Resends new order.

-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

Fixed Trailstop

-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

Square Yellow Green Chimpanzee

-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...

3 years ago

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...

3 years ago

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...

4 years ago

Zach left a comment in the discussion From Research To Production: Uncorrelated Assets

My questions (In OnSecuritiesChanged) -- 

4 years ago

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 years ago

Zach left a comment in the discussion From Research To Production: Uncorrelated Assets

def OnSecuritiesChanged (self, changes): symbols = [x.Symbol for x in...

4 years ago

Zach started the discussion Having trouble with UniverseFunction in my first strategy, please advise

Hello,

5 years ago

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...

5 years ago