Fixed Income Model
Asset Classes: Equity
Price: $2,500.00/mo
Exclusive: $30,000.00/mo
License
Status Running
Live Sharpe Ratio 0.03
Days Live 217
Uniqueness 52%
Frequency -
Accuracy

Alpha Equity

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Key Performance Metrics

DYNAMIC TIME WRAP
8.15%
RETURN CORRELATION
76.53%
ASSETS TRADED
17
MARKET
Equity
PROBABILISTIC SHARPE RATIO
22.67%

Alpha Score

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Alpha Live Server Data

Alpha Version 1.5
Live Insights 808
Deploy Lean ID 7846
Status Running
Deploy ID A-5cd1323d0206aaffee7ad1c0cf096f08
Last Time Seen 2020-07-14 23:43:50
Launched 2020-04-28 12:45:18
Machine Name

Alpha Correlations with the Marketplace

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Release Notes

1.5

2020-01-08

#4bcc72843df353b

Additional logging during prediction time to see if there are an price errors.

1.4

2020-01-08

#85ce74a50a0caf4

Changing to use Date based History and more resilient to any data error during training using forward and backward filling on prices received from history.

1.3

2020-01-02

#2dc3c0f9f05993f

Change in the ML model to reflect new best engine.

1.2.3

2019-05-14

#4d45c117a78e605

Moved emit insights before set holdings.

1.2.2

2019-04-01

#bb88e103ad4a290

Changing code to emit the FLAT direction when the position changes.

1.2.1

2019-03-12

#cb20a2b2d47d125

Making the alpha more robust to data history issues so it should run in most cases if a day or two is missing.

1.2

2019-03-12

#34dbf8384cbd3dd

Adding some minor logging as the code didn't seem to get the data it needed in prod deployment. Backtests seem fine on this universe.

1.1

2019-03-10

#c2f5b6dd985ce88  (stopped)

Changing the way the group alpha emit is working. Was doing per symbol before now will do the group all at once.

1.0

2019-03-08

#ed4462e970ca169  (stopped)

First Release


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