QUANTCONNECT COMMUNITY
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McCartney Taylor
There are lots of bugs in this code. You will need Claude to clean it up. But there is a raw gem in it worth working on. Be aware that by the nature of the structure, that there are many edge case problems that will occur, some in advertant long positions can be formed that look like alpha but are just orphans. Beware.
RelentlessDelta Investments LLC
There are three fundamental defects:
It also estimates a three-state model from just 150 five-minute returns—roughly two trading days—then leaves it unchanged for a month. That is a poor estimation-holding-period match.
The outcome confirms the code review: 12,386 orders, negative expectancy, −6.0% CAGR, −0.214 Sharpe and 61.7% drawdown. From the plotted publication marker, its post-publication equity appears to have risen roughly 20%, versus approximately 47% for the page’s benchmark—an approximate chart-derived comparison, but clearly not evidence of superior performance.
RelentlessDelta Investments LLC
Disregard my comment as it was meant for other strategy.
The below is for this one, I apologize for the confusion.
Maximum drawdown is 54.7%, annual volatility is 36.1%, and there is no stop or squeeze protection.
QuantConnect Reconciliation
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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