Start New Discussion 
Back
Reward Discussion 
The platform has a nice detailed analysis of my separate strategies in the report section but I was wondering if there was a way I could get an aggregate sharpe out of it as well. If not an aggregate sharpe directly is there a way I can calculate the correlation between two strategies I've backtested?
2
0
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.
0
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. I also had this question and just found Jared's past post:
Loading backtest results directly into Research would be handy for analyzing a portfolio of strategies. Related to this post by Aleksey Eremenko:
1
I agree @Derek regarding analyzing a portfolio of strategies in research which was my intention. I had set something up quite nifty on quantopian doing that. It would also be great to be able to import pyfolio in the QC research environment as it was quite a good tool (I dont like that the strategy reports here are not customizable). There shouldn't be a problem doing this because its open source right?
0
0
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.
0
Loading...
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can
continue your Boot Camp training progress from the terminal. We
hope to see you in the community soon!
Send an award to
+
+
Choose a Credit Pack
QuantConnect Credit (QCC) can be applied to your cloud-invoices or gifted to others in the community with Community Awards in recognition of their contributions. Community Awards highlight the awesome work your fellow community members are doing and inspires high quality algorithm contributions to the community. Select an option below to add QuantConnect Credit to your account:
$10
1,000 Credit Points
$20
2,000 Credit Points
$48
5,000 Credit Points
5% bonus
$232
25,000 Credit Points
8% bonus
Billing Summary
| Credit Pack |
| Total |
