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40.522Net Profit

60.382PSR

1.372Sharpe Ratio

0.27Alpha

-0.04Beta

37.716CAR

12.9Drawdown

50Loss Rate

42Parameters

1Security Types

1.1888Sortino Ratio

388Tradeable Dates

41Trades

-7.033Treynor Ratio

50Win Rate

11.985Net Profit

91.89PSR

2.027Sharpe Ratio

0.069Alpha

-0.084Beta

10.557CAR

2Drawdown

0Loss Rate

36Parameters

3Security Types

0Sortino Ratio

294Tradeable Dates

8Trades

-0.862Treynor Ratio

100Win Rate

1743.581Net Profit

28.661PSR

0.963Sharpe Ratio

0.077Alpha

1.691Beta

34.424CAR

48.9Drawdown

-0.28Loss Rate

0Parameters

2Security Types

1.221Sortino Ratio

2568Tradeable Dates

970Trades

0.164Treynor Ratio

1.08Win Rate

126.142Net Profit

0.076PSR

0.452Sharpe Ratio

0.593Alpha

-0.124Beta

8.736CAR

87.4Drawdown

-8.4Loss Rate

11Parameters

1Security Types

0.196Sortino Ratio

2449Tradeable Dates

362Trades

-4.631Treynor Ratio

8.16Win Rate

731.208Net Profit

31.922PSR

0.97Sharpe Ratio

-0.037Alpha

1.953Beta

24.342CAR

59Drawdown

55Loss Rate

11Parameters

2Security Types

-1.6052Sortino Ratio

2443Tradeable Dates

18Trades

0.158Treynor Ratio

45Win Rate

Bodhi started the discussion Missing price data for ETH across multiple exchanges

I’m noticing missing price data for Ethereum across multiple exchanges. For example, GDAX...

Bodhi left a comment in the discussion Fill at stale price VIX Index Options

Hi Alexandre, thanks for your response. I added logic to only purchase option contracts at 11am,...

Bodhi left a comment in the discussion VXX options | option splits not supported

It appears the strategy wasn't purchasing a new VXX contract after the split because when the...

Bodhi left a comment in the discussion Fill at stale price VIX Index Options

Okay, thanks for letting me know.

40.522Net Profit

60.382PSR

1.372Sharpe Ratio

0.27Alpha

-0.04Beta

37.716CAR

12.9Drawdown

50Loss Rate

42Parameters

1Security Types

1.1888Sortino Ratio

388Tradeable Dates

41Trades

-7.033Treynor Ratio

50Win Rate

11.985Net Profit

91.89PSR

2.027Sharpe Ratio

0.069Alpha

-0.084Beta

10.557CAR

2Drawdown

0Loss Rate

36Parameters

3Security Types

0Sortino Ratio

294Tradeable Dates

8Trades

-0.862Treynor Ratio

100Win Rate

1743.581Net Profit

28.661PSR

0.963Sharpe Ratio

0.077Alpha

1.691Beta

34.424CAR

48.9Drawdown

-0.28Loss Rate

0Parameters

2Security Types

1.221Sortino Ratio

2568Tradeable Dates

970Trades

0.164Treynor Ratio

1.08Win Rate

126.142Net Profit

0.076PSR

0.452Sharpe Ratio

0.593Alpha

-0.124Beta

8.736CAR

87.4Drawdown

-8.4Loss Rate

11Parameters

1Security Types

0.196Sortino Ratio

2449Tradeable Dates

362Trades

-4.631Treynor Ratio

8.16Win Rate

731.208Net Profit

31.922PSR

0.97Sharpe Ratio

-0.037Alpha

1.953Beta

24.342CAR

59Drawdown

55Loss Rate

11Parameters

2Security Types

-1.6052Sortino Ratio

2443Tradeable Dates

18Trades

0.158Treynor Ratio

45Win Rate

20.114Net Profit

50.389PSR

1.176Sharpe Ratio

-0.228Alpha

1.981Beta

29.714CAR

13.2Drawdown

27Loss Rate

10Parameters

3Security Types

0.0994Sortino Ratio

184Tradeable Dates

25Trades

0.173Treynor Ratio

73Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

1364Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

4Parameters

0Security Types

7.9228162514264E+28Sortino Ratio

23Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

75.649Net Profit

64.046PSR

2.868Sharpe Ratio

2.739Alpha

-0.533Beta

193.784CAR

50.5Drawdown

0Loss Rate

2Parameters

1Security Types

0Sortino Ratio

191Tradeable Dates

1Trades

-4.843Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

2Parameters

1Security Types

0Sortino Ratio

185Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

6.736Net Profit

95.519PSR

8.52Sharpe Ratio

0.346Alpha

0.691Beta

111.582CAR

1.3Drawdown

0Loss Rate

9Parameters

0Security Types

19.398Sortino Ratio

493Tradeable Dates

2Trades

1.221Treynor Ratio

0Win Rate

20.536Net Profit

62.766PSR

1.642Sharpe Ratio

0.028Alpha

1.945Beta

31.964CAR

11.3Drawdown

0Loss Rate

9Parameters

0Security Types

2.325Sortino Ratio

641Tradeable Dates

8Trades

0.174Treynor Ratio

0Win Rate

-22.199Net Profit

28.545PSR

-0.281Sharpe Ratio

-0.389Alpha

1.972Beta

-76.666CAR

52.4Drawdown

-1.67Loss Rate

11Parameters

0Security Types

-0.904Sortino Ratio

44Tradeable Dates

9Trades

-0.194Treynor Ratio

0Win Rate

14Parameters

0Security Types

922Tradeable Dates

8Parameters

0Security Types

252Tradeable Dates

Bodhi started the discussion Missing price data for ETH across multiple exchanges

I’m noticing missing price data for Ethereum across multiple exchanges. For example, GDAX...

Bodhi left a comment in the discussion Understanding Portfolio Margin Remaining and Margin Used

Thank you for explaining.

Bodhi left a comment in the discussion Fill at stale price VIX Index Options

Hi Alexandre, thanks for your response. I added logic to only purchase option contracts at 11am,...

Bodhi left a comment in the discussion VXX options | option splits not supported

It appears the strategy wasn't purchasing a new VXX contract after the split because when the...

Bodhi left a comment in the discussion Fill at stale price VIX Index Options

Okay, thanks for letting me know.

Bodhi started the discussion VXX options | option splits not supported

Several of my strategies involve trading VXX options, however in my backtests the strategy...

Bodhi started the discussion Fill at stale price VIX Index Options

I can't figure out why my algorithm is filling orders with stale prices, specifically for VIX index...

Bodhi left a comment in the discussion Warming up rolling window

Thanks!

Bodhi started the discussion Understanding Portfolio Margin Remaining and Margin Used

Why is that a simple allocation of 100% of portfolio to SPY shows that half of the buying trade...

Bodhi left a comment in the discussion Cash VIX Term structure

Excellent, thank you very much.

Bodhi started the discussion Warming up rolling window

I'm trying to better understand rolling windows, but experiencing two issues in my algorithm. The...

Bodhi started the discussion Calculating historical annualized volatility of SPY

I'm attempting to calculate the historical volatility of SPY. When I annualize the volatility and...

Bodhi started the discussion Having trouble with indicator extensions

I'm trying to calculate (1) the standard deviation of SPY prices over the past 5 days,;and (2) a...

Bodhi started the discussion Trading imported stock

Is it possible to trade a stock that's not in QC (e.g., OTC or international stock) by importing...

Bodhi started the discussion Trailing 12 month financials

Is there any plan to add trailing twelve-month financials? Right now, morningstar fundamentals in...

Bodhi started the discussion SetHoldings not working as intended, I’m stumped

I’m using coarse/fine universe to screen for stocks, which get added to a watchlist...

Bodhi started the discussion Maximum insight period

I currently have a longer-term buy/hold strategy which isn't set up as an alpha. Just monthly...

Bodhi started the discussion TypeError exception with SetHoldings

I've been playing around with the tail hedge code provided in the most recent QC livestream on...

Bodhi started the discussion Trade executing at "stale price" causes Runtime Error

My backtest begins running and makes it through a few years, but then it halts after a trade is...

Bodhi started the discussion Backtest stops running, can't figure out how to fix the runtime error

I have a simple tail hedge strategy. 99% of portfolio in SPY and 1% in a put hedge. It rebalances...

Bodhi started the discussion Option value incorrect in Tail Risk Hedging

I tried using the code provided in the QuantConnect livestream video on "Tail Risk Hedging". After...

Bodhi left a comment in the discussion Understanding Portfolio Margin Remaining and Margin Used

Thank you for explaining.

2 years ago