Attaching my hedging algorithm. Any feedback would be appreciated. Is this tradeable?
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Attaching my hedging algorithm. Any feedback would be appreciated. Is this tradeable?
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Petter Hansson
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.
Ankur Tangirala
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?
Ankur Tangirala
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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