- Profile
- Backtests
- Community

MMath Statistics student at UWaterloo specializing in Stochastic Processes and Stochastic Optimization.
https://aaronjaneiro.medium.com/

We are pioneering the radical future for open-source quant finance. QuantConnect is the world's largest quant community, empowering 220,000 quants with a framework, data, and infrastructure for their investments.

13.19Net Profit

79.248PSR

2.496Sharpe Ratio

0Alpha

0.997Beta

28.273CAR

5.4Drawdown

0Loss Rate

6Parameters

1Security Types

0Sortino Ratio

126Tradeable Dates

1Trades

0.309Treynor Ratio

0Win Rate

16.642Net Profit

35.764PSR

0.7Sharpe Ratio

0Alpha

0.997Beta

16.658CAR

34.1Drawdown

0Loss Rate

1Parameters

0Security Types

0.767Sortino Ratio

252Tradeable Dates

1Trades

0.237Treynor Ratio

0Win Rate

0.09Net Profit

44.551PSR

0.87Sharpe Ratio

0.001Alpha

0Beta

0.096CAR

0.1Drawdown

0Loss Rate

11Parameters

0Security Types

1.268Sortino Ratio

236Tradeable Dates

52Trades

-4.174Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

2Parameters

1Security Types

0Sortino Ratio

128Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

2Parameters

1Security Types

0Sortino Ratio

128Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Aaron left a comment in the discussion Scaling Trailing Stop Loss based on Profit

While not exactly the same, some simple modification of the code in the following article should...

Aaron left a comment in the discussion Rolling window in and out of sample

While there is no way to manipulate time in a backtest, you can always consolidate data to fit into...

Aaron started the discussion YouTube Tutorial - Running C# Algorithms Locally using Lean

www.youtube.com/watch?v=jpXmUU1uu90

Aaron started the discussion (WIP) QtLean -- a GUI interface for Lean

Hi all,

13.19Net Profit

79.248PSR

2.496Sharpe Ratio

0Alpha

0.997Beta

28.273CAR

5.4Drawdown

0Loss Rate

6Parameters

1Security Types

0Sortino Ratio

126Tradeable Dates

1Trades

0.309Treynor Ratio

0Win Rate

16.642Net Profit

35.764PSR

0.7Sharpe Ratio

0Alpha

0.997Beta

16.658CAR

34.1Drawdown

0Loss Rate

1Parameters

0Security Types

0.767Sortino Ratio

252Tradeable Dates

1Trades

0.237Treynor Ratio

0Win Rate

0.09Net Profit

44.551PSR

0.87Sharpe Ratio

0.001Alpha

0Beta

0.096CAR

0.1Drawdown

0Loss Rate

11Parameters

0Security Types

1.268Sortino Ratio

236Tradeable Dates

52Trades

-4.174Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

2Parameters

1Security Types

0Sortino Ratio

128Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

2Parameters

1Security Types

0Sortino Ratio

128Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

6.729Net Profit

82.45PSR

9.371Sharpe Ratio

2.363Alpha

-0.421Beta

216.578CAR

8.6Drawdown

0Loss Rate

2Parameters

1Security Types

0Sortino Ratio

0Tradeable Dates

11Trades

-5.186Treynor Ratio

100Win Rate

22.48Net Profit

76.357PSR

2.607Sharpe Ratio

0.02Alpha

0.996Beta

49.958CAR

9.8Drawdown

17Loss Rate

0Parameters

1Security Types

0Sortino Ratio

130Tradeable Dates

13Trades

0.544Treynor Ratio

83Win Rate

Aaron left a comment in the discussion When we use self.AddData to add my custom data. How to differentiate if this data is stock or futures by Lean?

Lean is generally agnostic to your external data's type and thus this is not required (but can be...

Aaron left a comment in the discussion Scaling Trailing Stop Loss based on Profit

While not exactly the same, some simple modification of the code in the following article should...

Aaron left a comment in the discussion Rolling window in and out of sample

While there is no way to manipulate time in a backtest, you can always consolidate data to fit into...

Aaron started the discussion YouTube Tutorial - Running C# Algorithms Locally using Lean

www.youtube.com/watch?v=jpXmUU1uu90

Aaron started the discussion (WIP) QtLean -- a GUI interface for Lean

Hi all,

Aaron left a comment in the discussion Cython/Numba Examples?

Just following up with some additional findingsā¦

Aaron left a comment in the discussion Cython/Numba Examples?

While Cython can be used in a QuantBook by means of using magic/decorators (for usage, see...

Aaron left a comment in the discussion How to receive emails in Quantconnect?

You can probably implement this usingĀ

Aaron started the discussion Lean Vagrant box?

I am having difficulty setting up lean to work with vscode but believe it may be due to my...

Aaron left a comment in the discussion When we use self.AddData to add my custom data. How to differentiate if this data is stock or futures by Lean?

Lean is generally agnostic to your external data's type and thus this is not required (but can be...

2 years ago