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Public Backtests (11)

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Formal Red Albatross

741.2Net Profit

5.338PSR

0.548Sharpe Ratio

0.025Alpha

0.687Beta

11.698CAR

38.4Drawdown

-0.14Loss Rate

2Parameters

0Security Types

4842Tradeable Dates

548Trades

0.096Treynor Ratio

0.56Win Rate

Energetic Green Rhinoceros

-55.694Net Profit

0PSR

-0.665Sharpe Ratio

0Alpha

0Beta

-13.214CAR

57.7Drawdown

0.07Loss Rate

0Parameters

0Security Types

1445Tradeable Dates

24879Trades

0Treynor Ratio

-0.64Win Rate

Emotional Fluorescent Yellow Seahorse

-46.194Net Profit

0.004PSR

-0.588Sharpe Ratio

0Alpha

0Beta

-11.648CAR

49Drawdown

0.07Loss Rate

0Parameters

0Security Types

1258Tradeable Dates

21858Trades

0Treynor Ratio

0.77Win Rate

Upgraded Yellow Green Armadillo

89.501Net Profit

11.195PSR

0.466Sharpe Ratio

0Alpha

0Beta

11.573CAR

19.1Drawdown

-0.07Loss Rate

0Parameters

0Security Types

1469Tradeable Dates

27687Trades

0Treynor Ratio

0.36Win Rate

Smooth Yellow Green Alpaca

89.501Net Profit

11.195PSR

0.466Sharpe Ratio

0Alpha

0Beta

11.573CAR

19.1Drawdown

-0.07Loss Rate

0Parameters

0Security Types

1469Tradeable Dates

27687Trades

0Treynor Ratio

0.36Win Rate


Community

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algo_dude started the discussion Bear Bull Traders' paper on "The Holy Grail" - not so fast.

@rakinmunim sent me a paper a while ago that I finally had the time to figure out.  I'm going to...

9 months ago

algo_dude left a comment in the discussion Bear Bull Traders' paper on "The Holy Grail" - not so fast.

Nice! But, we are still a long way off from Sharpe 2.1. A big disperity in the paper which had me...

9 months ago

algo_dude left a comment in the discussion Bear Bull Traders' paper on "The Holy Grail" - not so fast.

Thanks Jared.  I actually added the minimum after emailing the guys who wrote the paper and trying...

9 months ago

algo_dude left a comment in the discussion Bear Bull Traders' paper on "The Holy Grail" - not so fast.

Their paper:

9 months ago

algo_dude left a comment in the discussion Importing / uploading a deep learning model

I’m not too sure I follow. clarify one thing though: are you sure main.py and research.ipynb...

1 years ago

Formal Red Albatross

741.2Net Profit

5.338PSR

0.548Sharpe Ratio

0.025Alpha

0.687Beta

11.698CAR

38.4Drawdown

-0.14Loss Rate

2Parameters

0Security Types

4842Tradeable Dates

548Trades

0.096Treynor Ratio

0.56Win Rate

Energetic Green Rhinoceros

-55.694Net Profit

0PSR

-0.665Sharpe Ratio

0Alpha

0Beta

-13.214CAR

57.7Drawdown

0.07Loss Rate

0Parameters

0Security Types

1445Tradeable Dates

24879Trades

0Treynor Ratio

-0.64Win Rate

Emotional Fluorescent Yellow Seahorse

-46.194Net Profit

0.004PSR

-0.588Sharpe Ratio

0Alpha

0Beta

-11.648CAR

49Drawdown

0.07Loss Rate

0Parameters

0Security Types

1258Tradeable Dates

21858Trades

0Treynor Ratio

0.77Win Rate

Upgraded Yellow Green Armadillo

89.501Net Profit

11.195PSR

0.466Sharpe Ratio

0Alpha

0Beta

11.573CAR

19.1Drawdown

-0.07Loss Rate

0Parameters

0Security Types

1469Tradeable Dates

27687Trades

0Treynor Ratio

0.36Win Rate

Smooth Yellow Green Alpaca

89.501Net Profit

11.195PSR

0.466Sharpe Ratio

0Alpha

0Beta

11.573CAR

19.1Drawdown

-0.07Loss Rate

0Parameters

0Security Types

1469Tradeable Dates

27687Trades

0Treynor Ratio

0.36Win Rate

Logical Green Donkey

89.501Net Profit

11.195PSR

0.466Sharpe Ratio

0Alpha

0Beta

11.573CAR

19.1Drawdown

-0.07Loss Rate

0Parameters

0Security Types

1469Tradeable Dates

27687Trades

0Treynor Ratio

0.36Win Rate

Alert Yellow Llama

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

32Parameters

1Security Types

0Sortino Ratio

10Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Calm Blue Mosquito

-100.793Net Profit

0.093PSR

-0.362Sharpe Ratio

0Alpha

0Beta

0CAR

100.5Drawdown

63Loss Rate

18Parameters

3Security Types

-1.2819Sortino Ratio

963Tradeable Dates

436Trades

0Treynor Ratio

37Win Rate

Measured Red Flamingo

-104.703Net Profit

17.446PSR

-0.042Sharpe Ratio

0Alpha

0Beta

0CAR

104.7Drawdown

0Loss Rate

17Parameters

3Security Types

0Sortino Ratio

226Tradeable Dates

21Trades

0Treynor Ratio

0Win Rate

Geeky Black Salamander

-91.807Net Profit

70.487PSR

741462649289.12Sharpe Ratio

0Alpha

0Beta

-100CAR

99.3Drawdown

0Loss Rate

17Parameters

0Security Types

32Tradeable Dates

21Trades

0Treynor Ratio

0Win Rate

Energetic Red Orange Barracuda

-100.3Net Profit

0PSR

-0.631Sharpe Ratio

0Alpha

0Beta

0CAR

100.1Drawdown

51Loss Rate

16Parameters

3Security Types

-0.3818Sortino Ratio

1652Tradeable Dates

1071Trades

0Treynor Ratio

49Win Rate

algo_dude started the discussion Bear Bull Traders' paper on "The Holy Grail" - not so fast.

@rakinmunim sent me a paper a while ago that I finally had the time to figure out.  I'm going to...

9 months ago

algo_dude left a comment in the discussion Bear Bull Traders' paper on "The Holy Grail" - not so fast.

Nice! But, we are still a long way off from Sharpe 2.1. A big disperity in the paper which had me...

9 months ago

algo_dude left a comment in the discussion Bear Bull Traders' paper on "The Holy Grail" - not so fast.

Thanks Jared.  I actually added the minimum after emailing the guys who wrote the paper and trying...

9 months ago

algo_dude left a comment in the discussion Bear Bull Traders' paper on "The Holy Grail" - not so fast.

Their paper:

9 months ago

algo_dude left a comment in the discussion Importing / uploading a deep learning model

I’m not too sure I follow. clarify one thing though: are you sure main.py and research.ipynb...

1 years ago

algo_dude left a comment in the discussion Docs V2 Released

Saw this when the github issue closed.  Great stuff team!  

1 years ago

algo_dude left a comment in the discussion Algorithmic Trading Video Series #4 | Taking profit

Van Quoc Nguyen You are using 5% take profit - he is testing 10%

1 years ago