Carsten
Quant
Date Joined
5th December, 2020
Bootcamp progress
82% Complete
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Share an algorithm with the community by making your algorithm public.
2020-12-12 19:45:07
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2020-12-14 22:16:47
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2021-12-01 21:53:31
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2020-12-07 06:39:25
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2020-12-05 11:55:21
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Receive at least 10 upvotes from different users in the community.
2023-03-13 20:06:03
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2020-12-05 12:26:32
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Public Backtests (16)
View More137.172Net Profit
5.924PSR
0.564Sharpe Ratio
0.532Alpha
-1.314Beta
23.515CAR
75.8Drawdown
83Loss Rate
29Parameters
3Security Types
4.4509Sortino Ratio
1493Tradeable Dates
13Trades
-0.27Treynor Ratio
17Win Rate
137.172Net Profit
5.924PSR
0.564Sharpe Ratio
0.532Alpha
-1.314Beta
23.515CAR
75.8Drawdown
83Loss Rate
31Parameters
3Security Types
4.4509Sortino Ratio
1493Tradeable Dates
13Trades
-0.27Treynor Ratio
17Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
13Parameters
0Security Types
7.9228162514264E+28Sortino Ratio
367Tradeable Dates
1Trades
0Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
0Parameters
0Security Types
7.9228162514264E+28Sortino Ratio
0Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
-2.65Net Profit
3.729PSR
-3.569Sharpe Ratio
3.751Alpha
-1.867Beta
-85.918CAR
2.9Drawdown
-0.89Loss Rate
0Parameters
0Security Types
-2.795Sortino Ratio
0Tradeable Dates
10Trades
0.395Treynor Ratio
0Win Rate
Community
View MoreCarsten left a comment in the discussion Rage Against the Regimes: The Illusion of Market-Specific Strategies
and forgot to mention, every time you run HMMlearn it might switch the order of the states it puts...
Carsten left a comment in the discussion Rage Against the Regimes: The Illusion of Market-Specific Strategies
Lars Klawitter if it helps I could send you the notebook. I would like too improve the algo as...
Carsten left a comment in the discussion Amazing returns = superior stock selection strategy + superior in & out strategy
Peter Guenther would you mind to post the mention algo (V8) as a reverence as I’m loosing a bit...
Carsten left a comment in the discussion Rage Against the Regimes: The Illusion of Market-Specific Strategies
Lars Klawitter regarding your HMM, you might have a look at the following paper (ups, how can I...
137.172Net Profit
5.924PSR
0.564Sharpe Ratio
0.532Alpha
-1.314Beta
23.515CAR
75.8Drawdown
83Loss Rate
29Parameters
3Security Types
4.4509Sortino Ratio
1493Tradeable Dates
13Trades
-0.27Treynor Ratio
17Win Rate
137.172Net Profit
5.924PSR
0.564Sharpe Ratio
0.532Alpha
-1.314Beta
23.515CAR
75.8Drawdown
83Loss Rate
31Parameters
3Security Types
4.4509Sortino Ratio
1493Tradeable Dates
13Trades
-0.27Treynor Ratio
17Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
13Parameters
0Security Types
7.9228162514264E+28Sortino Ratio
367Tradeable Dates
1Trades
0Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
0Parameters
0Security Types
7.9228162514264E+28Sortino Ratio
0Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
-2.65Net Profit
3.729PSR
-3.569Sharpe Ratio
3.751Alpha
-1.867Beta
-85.918CAR
2.9Drawdown
-0.89Loss Rate
0Parameters
0Security Types
-2.795Sortino Ratio
0Tradeable Dates
10Trades
0.395Treynor Ratio
0Win Rate
-2.65Net Profit
3.729PSR
-3.569Sharpe Ratio
3.751Alpha
-1.867Beta
-85.918CAR
2.9Drawdown
-0.89Loss Rate
0Parameters
0Security Types
-2.795Sortino Ratio
0Tradeable Dates
10Trades
0.395Treynor Ratio
0Win Rate
492.366Net Profit
45.752PSR
1.043Sharpe Ratio
0.166Alpha
-0.088Beta
17.553CAR
31.4Drawdown
41Loss Rate
21Parameters
1Security Types
0.1012Sortino Ratio
2766Tradeable Dates
4876Trades
-1.761Treynor Ratio
59Win Rate
563.934Net Profit
53.376PSR
1.106Sharpe Ratio
0.177Alpha
-0.093Beta
18.799CAR
31.4Drawdown
41Loss Rate
21Parameters
1Security Types
0.1012Sortino Ratio
2765Tradeable Dates
4964Trades
-1.781Treynor Ratio
59Win Rate
-33.809Net Profit
2.157PSR
-0.656Sharpe Ratio
-0.236Alpha
-0.236Beta
-33.809CAR
49Drawdown
-1.31Loss Rate
47Parameters
0Security Types
-0.844Sortino Ratio
0Tradeable Dates
1209Trades
-6.571Treynor Ratio
0.93Win Rate
-45.495Net Profit
0.112PSR
-1.524Sharpe Ratio
-0.392Alpha
-0.392Beta
-46.045CAR
57.1Drawdown
-0.02Loss Rate
0Parameters
1Security Types
-2.456Sortino Ratio
0Tradeable Dates
24644Trades
-5.45Treynor Ratio
0.03Win Rate
41.104Net Profit
51.215PSR
1.068Sharpe Ratio
0.094Alpha
0.077Beta
12.245CAR
12.6Drawdown
7Loss Rate
9Parameters
1Security Types
1.3845Sortino Ratio
0Tradeable Dates
170Trades
1.357Treynor Ratio
93Win Rate
7Parameters
1Security Types
0Sortino Ratio
0Tradeable Dates
415.94Net Profit
76.679PSR
1.281Sharpe Ratio
0.141Alpha
-0.027Beta
16.13CAR
16.2Drawdown
38Loss Rate
15Parameters
1Security Types
0.5066Sortino Ratio
2761Tradeable Dates
1205Trades
-5.058Treynor Ratio
62Win Rate
415.94Net Profit
76.679PSR
1.281Sharpe Ratio
0.141Alpha
-0.027Beta
16.13CAR
16.2Drawdown
38Loss Rate
11Parameters
1Security Types
0.5066Sortino Ratio
0Tradeable Dates
1205Trades
-5.058Treynor Ratio
62Win Rate
12.956Net Profit
53.217PSR
1.219Sharpe Ratio
0.267Alpha
-0.132Beta
24.893CAR
14Drawdown
0Loss Rate
8Parameters
1Security Types
0Sortino Ratio
141Tradeable Dates
5Trades
-1.642Treynor Ratio
100Win Rate
180.898Net Profit
24.135PSR
0.835Sharpe Ratio
0.1Alpha
0.1Beta
10.874CAR
16.8Drawdown
-0.03Loss Rate
6Parameters
0Security Types
1.133Sortino Ratio
0Tradeable Dates
6234Trades
-2.723Treynor Ratio
0.11Win Rate
Carsten left a comment in the discussion Rage Against the Regimes: The Illusion of Market-Specific Strategies
Lars Klawitter should be this one carstenf#5495
Carsten left a comment in the discussion Rage Against the Regimes: The Illusion of Market-Specific Strategies
and forgot to mention, every time you run HMMlearn it might switch the order of the states it puts...
Carsten left a comment in the discussion Rage Against the Regimes: The Illusion of Market-Specific Strategies
Lars Klawitter if it helps I could send you the notebook. I would like too improve the algo as...
Carsten left a comment in the discussion Amazing returns = superior stock selection strategy + superior in & out strategy
Peter Guenther would you mind to post the mention algo (V8) as a reverence as I’m loosing a bit...
Carsten left a comment in the discussion Rage Against the Regimes: The Illusion of Market-Specific Strategies
Lars Klawitter regarding your HMM, you might have a look at the following paper (ups, how can I...
Carsten left a comment in the discussion The In & Out Strategy - Continued from Quantopian
@Jack Pizza
Carsten started the discussion Need help, to get VIX Option with VIX.CBOE
Hello
Carsten started the discussion Checking for BidSize but options still marked as non-tradable
Hi
Carsten started the discussion Profit from extreme VIX spikes with VIX calls / Black Swan hedge?
Hi
Carsten started the discussion Question on simple AlphaModel: selecting top ranks and pass them to insight
I want to select the top 4 momentum security and pass them to insight.
Carsten started the discussion Alpha Model with Custom Indicator
I would like to build some custom indicators for an Alpha Model.
Carsten started the discussion How to warm Up custom indicator
I bulid a custom indicator and try to warm it up.
Carsten started the discussion Name 'RSI' is not defined, even 200-50 EMA Momentum Universe don't work with RSI?
Im trying to use RSI in a stratey...always getting the same error: Runtime Error: NameError :...
Carsten started the discussion Mean Reversion Short
Hi
Carsten started the discussion Toolbox for running Lean locally: starting with Quandl Data loader and Pyfolio
I would like to start with adding a dataloader for Quandl Sharadar Data and Pyfolio integration to...
Carsten started the discussion Is it possible to run Lean localy in multiprocessing using python framework?
I'm running Lean locally in a docker with Python, but it uses just one core (1/8=12% )
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Carsten left a comment in the discussion Rage Against the Regimes: The Illusion of Market-Specific Strategies
Lars Klawitter should be this one carstenf#5495
2 years ago