Market Neutral Equity Fundamentals
Asset Classes: Equity
Price: $2,000.00/mo
Exclusive: $5,000.00/mo
License
Status Running
Live Sharpe Ratio -1.47
Days Live 456
Uniqueness 77%
Frequency 13/day
Accuracy

Alpha Equity

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Key Performance Metrics

DYNAMIC TIME WRAP
4.59%
RETURN CORRELATION
36.04%
ASSETS TRADED
488
MARKET
Equity
PROBABILISTIC SHARPE RATIO
2.54%

Alpha Score

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Alpha Live Server Data

Alpha Version 1.0
Live Insights 4.2k
Deploy Lean ID 8095
Status Running
Deploy ID A-16286ed77b0866b50860a4348819c4e0
Last Time Seen 2020-07-12 11:01:11
Launched 2020-04-28 20:48:43
Machine Name

Alpha Correlations with the Marketplace

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Release Notes

2.2.2

2019-05-20

#3873de917974251

1. Fixed bug by putting EmitInsights in front of Liquidate(i). This blows up in live trading.

2.2.1

2019-05-14

#a82d76d7024d329

1. Made sure algo updates with Flat insights during liquidation 2. Corrected checks for currently invested assets

2.2

2019-05-13

#1c118ebb54c81a8

Modified rebalance code to restart from any day instead of just Mondays.

2.1

2019-05-11

#213fa3d08c05a2d

1. Added flat insights when calling liquidation 2. Modified universe to have more liquidity 3. Modified short term indicator to account more for volatility

2.0.1

2019-05-05

#4278adbc64e714d

Short term price indicator had the wrong volatility adjustment. Fixed the volatility calculation

2.0

2019-05-04

#db03b66e6b7a8fc

1. Fixed the number of assets to be 25 long and 25 short at all times. 2. Modified short term price change indicator to account for volatility, providing more stable returns.

1.0

2019-04-11

#01b9db0969fc3cc

First Release


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