QUANTCONNECT COMMUNITY
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RelentlessDelta Investments LLC
Any plans to improve on below risks?
The hidden risk is sizing. It allocates 1 / number_of_desired_positions, not a fixed 10% per position. Therefore:
That concentration can materially enhance both backtest returns and tail risk. The model also contains many selectable thresholds—15, 1.75, 45, 60, 3%, 200 and 15 days—without any published parameter-stability or walk-forward analysis.
Its 31.57% three-month OOS result is encouraging, but three months is far too short and appears dominated by a strong rebound. The attractive five-year statistics are mostly prepublication.
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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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