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Understanding Key Performance

Hi all,

I have a few questions about the key performance and I was hoping that the community could help me.

At the moment, I have an algorithm that tries to predict the future price movement 40 days in advance, and it gives me the following results over a 6 years Backtest on the USTreasuriesETF Universe:

Direction score: 72%
Magnitude Score: 56%
Total Insights: 11,898
Mean Insight Value: 6,667
Estimated Alpha Value 76,072,398

So, this looks good and it would make me think that there is some value in the algorithm. The problem is that when I look at the PSR and the Return I have

PSR: 2.7 %
Return: 3.69%

Which is definitely bad. 

My guess is that I should improve the way I build the portfolio, but at the moment I am using the MeanVariance Constructor with the SharpeRatio Optimizer and Daily resolution, which is updated every day. So it should be able to handle the predictions in a decent way, but this is not reflected in the PSR although the input data seem to be good (Key Performance).

I am new to QuantConnect, so I was wondering if anyone had any suggestion about how to tackle this, and what should I try to improve to convert the good Key Performance in a good PSR. 

Thank you for your help!

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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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