How bad or good are these results?

Attaching my hedging algorithm. Any feedback would be appreciated. Is this tradeable?

Update Backtest

It depends hugely on the process you applied when attaining them. I.e. it's not difficult to curve fit an impressive looking result for a particular time window which does horribly outside of that time window.. In fact, this will be what happens 99% of the time if you don't take steps to avoid it.

Another thing: As far as I can tell you're not modelling slippage in there. Cost of daily rebalancing can destroy results in practice for weak alpha. You really ought to add a ConstantSlippageModel representing the maximum slippage you expect per transaction.

Assuming everything else checks in; in my opinion that drawdown is pretty risky and few people would stomach it. But it may simply be an issue of too high leverage.


Thaks for looking into this. I tried may different time windows and all the way back from 2012 with many different windows of 1, 2, 3 years and so on and it oout performed not only the benchmark but also the base ticker. I was more curious on the ratios and or indicators to judge the performance of the algorithm/s. What are a few I can focus on to compare algorithms?

I am sort of OK with the current drawdown as if I were just to invest in the market aka SPY or TNA and keep it would be much more.

Your point on the slippage model is absoluteley correct. My intention for this algorithm is for small investments. Would slippage play a significant role still?


Update Backtest


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