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I have obtained the following results from my hourly Oanda FX portfolio balancing model from the blind set between 1'st of January and 13th of March with a very simple order execution as I am still a newbie in the platform. I would like to hear from more experienced members of the QuantConnect community that whether these results show some potential e.g. for a hedge fund, given that the execution yet very simple and doesn't configure any leverage, conditional orders, stop-loss or take-profit for the orders made, and there is lots of space for improvement (for instance balancing is done through USD parities and cross-parities are not utilized).
Compounding Annual Return: 5.362%
Drawdown: 0.8%
Expectancy: 0.391
Net Profit: 1.035%
Sharpe Ratio: 2.141
Loss Rate: 50%
Win Rate: 50%
Profit-Loss Ratio: 1.76
Alpha: 0.089
Beta: -3.011
Annual Standard Deviation: 0.019
Information Ratio: 1.324
Tracking Error: 0.019
Treynor Ratio: -0.014
Erik Bengtson
good sharp ratio,try to get the same for a longer period
Kamer Ali Yüksel
Hello Erik, I will definetely try to do that! Thanks.
Kamer Ali Yüksel
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