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Hello,
I am working on deploying a few long/short strategies to improve portfolio sharpe and reduce market risk. I have been going through the tedious process of exporting performance data from each backtest to log and then importing into excel to recalculate parameters (sharpe, max draw, CAGR…). Is there any more automated way to pool strategies to see grouped results in QC? Is how I have been going about it the best?
Thanks
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Mia Alissi
Yes, there is a more automated way to pool strategies and see grouped results in QuantConnect. You can go to a backtest and view the set of tabs toward the bottom of the page. Click Overview, and then on the right Download Results to get a json file. This can help you analyze a portfolio of strategies more efficiently.
For more detailed analysis, you might consider loading backtest results directly into Research. This would be handy for analyzing a portfolio of strategies.
Here is the relevant discussion on the forum: Aggregate Sharpe Ratio
Please note that the process might still require some manual work, but it should be more efficient than exporting and importing data into excel.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Viceroy
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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