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Sharpe 13, performance 66%

This algo:

http://www.quantiacs.com/Contact/Chart.aspx?symbolname=fee-quant-5616&labelname=Chester&showLive=1&isTrading=0

has metrics: from 1990-2017: sharpe 13, performance 66%.

I assume it uses futures, correlation, ML. 

There are dozens of algos with similar perfromance, from different authors. So the aproach must be pretty obvious.

There is another one that uses stocks, wich sharpe 5.7, performance 220%:

https://www.quantiacs.com/Contact/Chart.aspx?symbolname=fee-quant-5650&labelname=Piersicuta3101&showLive=1&isTrading=0 

Bonds: sharpe 4.5, performance (only :) 16%.

https://www.quantiacs.com/Contact/Chart.aspx?symbolname=fee-quant-5666&labelname=qaqee1004d&showLive=1&isTrading=0

Any ideas?

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Survivorship bias from a large community of authors always means there will

be some good ones. This can be intensified with futures which offer greater

leverage.



Also I wouldn't assume they are complex or even realistic strategies. Most

people make very simple algorithms
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hmm nice backtests you found there.

if we all would know what this is it may wouldnt work anymore.

but if it is that good do you think he would post that and not invest with his own money and buy cuba or aruba in few years?

i dont know.

you could create an account there and ask that guy if he sells this algo.

see it like an investment. you take 1000 usd and maybe it is yours and you make your money back :)

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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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