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Biography

Quantitative Developer at QuantConnect. Studied Computer Science and Finance at the University of Lethbridge. Competitor in the 2020-1 Rotman International Trading Competitions. See my latest posts at derekmelchin.com.

Activity on QuantConnect

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.


Public Backtests (2174)

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Hyper Active Light Brown Whale

-72.831Net Profit

0PSR

-1.262Sharpe Ratio

-0.185Alpha

-0.493Beta

-26.401CAR

75.3Drawdown

56Loss Rate

18Parameters

1Security Types

-1.511Sortino Ratio

0Tradeable Dates

33088Trades

0.431Treynor Ratio

44Win Rate

Swimming Orange Salmon

-4.789Net Profit

0.516PSR

-0.378Sharpe Ratio

-0.035Alpha

-0.034Beta

-1.148CAR

22Drawdown

58Loss Rate

14Parameters

1Security Types

-0.433Sortino Ratio

0Tradeable Dates

6157Trades

1.067Treynor Ratio

42Win Rate

Long-only with largest constituents

-34.074Net Profit

0.042PSR

-0.547Sharpe Ratio

-0.138Alpha

0.929Beta

-9.336CAR

44.3Drawdown

51Loss Rate

18Parameters

1Security Types

-0.707Sortino Ratio

0Tradeable Dates

4484Trades

-0.094Treynor Ratio

49Win Rate

Smooth Red Orange Hippopotamus

-90.388Net Profit

0PSR

-1.288Sharpe Ratio

-0.391Alpha

1.145Beta

-42.36CAR

91.9Drawdown

60Loss Rate

18Parameters

1Security Types

-1.705Sortino Ratio

0Tradeable Dates

5563Trades

-0.286Treynor Ratio

40Win Rate

Pensive Violet Hamster

-81.182Net Profit

0PSR

-1.965Sharpe Ratio

-0.256Alpha

-0.145Beta

-32.492CAR

82.2Drawdown

59Loss Rate

19Parameters

1Security Types

-1.962Sortino Ratio

0Tradeable Dates

7706Trades

1.822Treynor Ratio

41Win Rate


Community

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Derek left a comment in the discussion Research book not saved

CTRL + S

21 days ago

Derek left a comment in the discussion BTCUSD, Minute The issue starts from Jun 16th, 2024 12:00 AM; and continues until Sep 5th, 2024 12:00 AM

Same issue with ETH, LINK, and DOGE

1 months ago

Derek left a comment in the discussion How to get quantconnect data inside a custom data class?

https://www.quantconnect.com/docs/v2/writing-algorithms/key-concepts/globals-and-statics#03-API-Acce...

2 months ago

Derek left a comment in the discussion Reimagining the 60-40 Portfolio in an Era of AI and Falling Rates

To check the asset classes that each brokerage supports, see this page:...

2 months ago

Derek left a comment in the discussion Opening Range Breakout for Stocks in Play

... and to increase the execution speed.

2 months ago

Hyper Active Light Brown Whale

-72.831Net Profit

0PSR

-1.262Sharpe Ratio

-0.185Alpha

-0.493Beta

-26.401CAR

75.3Drawdown

56Loss Rate

18Parameters

1Security Types

-1.511Sortino Ratio

0Tradeable Dates

33088Trades

0.431Treynor Ratio

44Win Rate

Swimming Orange Salmon

-4.789Net Profit

0.516PSR

-0.378Sharpe Ratio

-0.035Alpha

-0.034Beta

-1.148CAR

22Drawdown

58Loss Rate

14Parameters

1Security Types

-0.433Sortino Ratio

0Tradeable Dates

6157Trades

1.067Treynor Ratio

42Win Rate

Long-only with largest constituents

-34.074Net Profit

0.042PSR

-0.547Sharpe Ratio

-0.138Alpha

0.929Beta

-9.336CAR

44.3Drawdown

51Loss Rate

18Parameters

1Security Types

-0.707Sortino Ratio

0Tradeable Dates

4484Trades

-0.094Treynor Ratio

49Win Rate

Smooth Red Orange Hippopotamus

-90.388Net Profit

0PSR

-1.288Sharpe Ratio

-0.391Alpha

1.145Beta

-42.36CAR

91.9Drawdown

60Loss Rate

18Parameters

1Security Types

-1.705Sortino Ratio

0Tradeable Dates

5563Trades

-0.286Treynor Ratio

40Win Rate

Pensive Violet Hamster

-81.182Net Profit

0PSR

-1.965Sharpe Ratio

-0.256Alpha

-0.145Beta

-32.492CAR

82.2Drawdown

59Loss Rate

19Parameters

1Security Types

-1.962Sortino Ratio

0Tradeable Dates

7706Trades

1.822Treynor Ratio

41Win Rate

Jumping Fluorescent Pink Duck

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

0Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Casual Orange Lemur

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

0Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Sleepy Blue Rat

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

0Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Ugly Red Penguin

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

0Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Swimming Black Buffalo

-55.976Net Profit

0.001PSR

-0.662Sharpe Ratio

-1.297Alpha

1.325Beta

-100CAR

74.4Drawdown

-7.03Loss Rate

7Parameters

0Security Types

16Tradeable Dates

201Trades

-0.756Treynor Ratio

0Win Rate

Ugly Violet Scorpion

15.954Net Profit

8.148PSR

-0.181Sharpe Ratio

-0.005Alpha

-0.032Beta

2.878CAR

7.6Drawdown

47Loss Rate

12Parameters

1Security Types

-0.115Sortino Ratio

1309Tradeable Dates

426Trades

0.229Treynor Ratio

53Win Rate

Upgraded Light Brown Manatee

2558.213Net Profit

64.236PSR

1.437Sharpe Ratio

0.711Alpha

-0.107Beta

87.544CAR

53.7Drawdown

30Loss Rate

20Parameters

1Security Types

0.957Sortino Ratio

1309Tradeable Dates

372Trades

-6.564Treynor Ratio

70Win Rate

Creative Asparagus Chinchilla

2558.213Net Profit

64.236PSR

1.437Sharpe Ratio

0.711Alpha

-0.107Beta

87.544CAR

53.7Drawdown

30Loss Rate

23Parameters

1Security Types

0.957Sortino Ratio

1309Tradeable Dates

372Trades

-6.564Treynor Ratio

70Win Rate

Pensive Apricot Kangaroo

438.305Net Profit

0.129PSR

0.285Sharpe Ratio

0.011Alpha

0.378Beta

6.629CAR

25.5Drawdown

77Loss Rate

5Parameters

1Security Types

0.266Sortino Ratio

6591Tradeable Dates

176Trades

0.073Treynor Ratio

23Win Rate

Alert Brown Rhinoceros

520.848Net Profit

0.177PSR

0.309Sharpe Ratio

0.012Alpha

0.369Beta

6.936CAR

25.5Drawdown

76Loss Rate

1Parameters

1Security Types

0.285Sortino Ratio

6843Tradeable Dates

178Trades

0.08Treynor Ratio

24Win Rate

Smooth Magenta Chicken

-28.352Net Profit

2.744PSR

-0.792Sharpe Ratio

-0.249Alpha

0.079Beta

-39.271CAR

33.3Drawdown

-1.54Loss Rate

23Parameters

0Security Types

168Tradeable Dates

422Trades

-3.297Treynor Ratio

1Win Rate

Measured Red Wolf

2.932Net Profit

98.429PSR

-7.008Sharpe Ratio

-0.038Alpha

0Beta

2.443CAR

1.3Drawdown

1Loss Rate

0Parameters

2Security Types

-3.34Sortino Ratio

299Tradeable Dates

352Trades

-261.257Treynor Ratio

99Win Rate

Energetic Violet Hamster

-4.8Net Profit

0.151PSR

-5.839Sharpe Ratio

-0.181Alpha

-0.05Beta

-16.193CAR

5.8Drawdown

74Loss Rate

0Parameters

3Security Types

-6.585Sortino Ratio

68Tradeable Dates

272Trades

3.429Treynor Ratio

26Win Rate

Determined Fluorescent Yellow Pony

7.436Net Profit

44.338PSR

0.841Sharpe Ratio

0.059Alpha

0.088Beta

11.325CAR

6.9Drawdown

-2.03Loss Rate

23Parameters

0Security Types

168Tradeable Dates

62Trades

0.903Treynor Ratio

0.91Win Rate

Casual Red Goat

-2.855Net Profit

0.001PSR

-0.244Sharpe Ratio

-0.015Alpha

-0.014Beta

-0.21CAR

28.9Drawdown

-0.09Loss Rate

5Parameters

0Security Types

3545Tradeable Dates

14089Trades

1.188Treynor Ratio

0.18Win Rate

Ugly Fluorescent Pink Crocodile

94.473Net Profit

10.866PSR

0.439Sharpe Ratio

0.141Alpha

0.092Beta

17.171CAR

43Drawdown

47Loss Rate

20Parameters

2Security Types

0.319Sortino Ratio

1052Tradeable Dates

2066Trades

1.577Treynor Ratio

53Win Rate

Crying Apricot Hyena

31.702Net Profit

75.879PSR

4.232Sharpe Ratio

2.291Alpha

1.618Beta

320.327CAR

13.5Drawdown

34Loss Rate

20Parameters

2Security Types

3.274Sortino Ratio

46Tradeable Dates

141Trades

1.194Treynor Ratio

66Win Rate

Creative Brown Barracuda

3.699Net Profit

93.507PSR

2.168Sharpe Ratio

0.097Alpha

0.019Beta

22.234CAR

1.5Drawdown

22Loss Rate

13Parameters

2Security Types

2.516Sortino Ratio

44Tradeable Dates

19Trades

5.075Treynor Ratio

78Win Rate

Focused Sky Blue Rat

174.718Net Profit

100PSR

14.641Sharpe Ratio

3.662Alpha

-0.094Beta

947.304CAR

1.9Drawdown

43Loss Rate

15Parameters

2Security Types

0Sortino Ratio

157Tradeable Dates

36640Trades

-39.093Treynor Ratio

57Win Rate

Focused Fluorescent Pink Salmon

2322.983Net Profit

20.484PSR

0.922Sharpe Ratio

0.483Alpha

1.094Beta

48.915CAR

87.5Drawdown

-1.65Loss Rate

40Parameters

0Security Types

0Tradeable Dates

977Trades

0.523Treynor Ratio

2.95Win Rate

Measured Sky Blue Cobra

2322.983Net Profit

20.484PSR

0.922Sharpe Ratio

0.483Alpha

1.094Beta

48.915CAR

87.5Drawdown

-1.65Loss Rate

40Parameters

0Security Types

0Tradeable Dates

977Trades

0.523Treynor Ratio

2.95Win Rate

Upgraded Fluorescent Yellow Goat

1636.778Net Profit

16.152PSR

0.853Sharpe Ratio

0.454Alpha

1.114Beta

42.848CAR

88.3Drawdown

-1.65Loss Rate

11Parameters

0Security Types

0Tradeable Dates

960Trades

0.489Treynor Ratio

2.64Win Rate

Swimming Fluorescent Yellow Eagle

7Parameters

0Security Types

0Tradeable Dates

961Trades

Creative Magenta Lemur

6455.919Net Profit

38.003PSR

1.157Sharpe Ratio

0.607Alpha

0.902Beta

68.632CAR

83.2Drawdown

0Loss Rate

6Parameters

0Security Types

2921Tradeable Dates

1Trades

0.753Treynor Ratio

0Win Rate

Sleepy Brown Anguilline

6792.864Net Profit

61.217PSR

1.634Sharpe Ratio

0.239Alpha

0.787Beta

69.691CAR

83.5Drawdown

0Loss Rate

6Parameters

0Security Types

2921Tradeable Dates

1Trades

1.483Treynor Ratio

0Win Rate

Derek left a comment in the discussion Research book not saved

CTRL + S

21 days ago

Derek left a comment in the discussion BTCUSD, Minute The issue starts from Jun 16th, 2024 12:00 AM; and continues until Sep 5th, 2024 12:00 AM

Same issue with ETH, LINK, and DOGE

1 months ago

Derek left a comment in the discussion How to get quantconnect data inside a custom data class?

https://www.quantconnect.com/docs/v2/writing-algorithms/key-concepts/globals-and-statics#03-API-Acce...

2 months ago

Derek left a comment in the discussion Reimagining the 60-40 Portfolio in an Era of AI and Falling Rates

To check the asset classes that each brokerage supports, see this page:...

2 months ago

Derek left a comment in the discussion Opening Range Breakout for Stocks in Play

... and to increase the execution speed.

2 months ago

Derek left a comment in the discussion Opening Range Breakout for Stocks in Play

Yes, we opted to not warm up the VolumeSMA to minimize the number of code lines for readers.

2 months ago

Derek submitted the research Bitcoin as a Leading Indicator

Abstract

This research explores Bitcoin's role as a leading indicator for US Equity market turbulence. Bitcoin, classically a risk-on asset that trades 24/7, can signal crises in other markets due to its liquidity and volatility. The study demonstrates a trading strategy using the LEAN engine, rotating capital between US Equities and cash based on Bitcoin's price action. When Bitcoin drops two standard deviations below its two-year moving average, the strategy shifts to cash, enhancing risk-adjusted returns for long-term investors.

5 months ago

Derek submitted the research Automating the Wheel Strategy

Abstract

The Wheel strategy is a popular options trading approach that generates steady income from equities intended for long-term holding. It involves selling cash-secured puts and covered calls. Initially, out-of-the-money (OTM) puts are sold until shares are assigned. Once shares are held, OTM covered calls are sold until exercised. This strategy generates income through premiums from option sales. The underlying equity should be one the trader is comfortable owning. For implementation, SPY was used as the underlying asset, chosen for its stability and long-term hold potential. The strategy offers built-in risk management and downside protection by effectively managing option assignments and sales.

6 months ago

Derek submitted the research Reimagining the 60-40 Portfolio in an Era of AI and Falling Rates

Abstract

During the initial outbreak of the COVID March 2020 the safety that the 60-40 stock-bonds portfolio offered seemed to break down, leading investors to seek new uncorrelated assets to hedge portfolios in times of crisis. This micro-study aims to determine the new 60-40 portfolio, as the interest from idle cash starts to diminish. It uses machine learning to select and weight portfolio assets based on the magnitude of the predicted returns. The strategy uses machine learning and economic factors to manage a portfolio of risk-on and risk-off assets. The algorithm rebalances the portfolio at the start of every month. During each rebalance, it allocates a portion of the portfolio to each asset the regression model predicts will have a positive return over the following month, scaling the positions based on the magnitude of the predicted returns.

6 months ago

Derek submitted the research Probabilistic Sharpe Ratio

Abstract

The Probabilistic Sharpe Ratio (PSR) is a method for evaluating investment performance that takes into account the non-normality of returns. The traditional Sharpe ratio assumes that returns are normally distributed, which can lead to misleading results for strategies with non-normal returns. The PSR addresses this limitation by considering the distribution of returns and estimating the probability that a given Sharpe ratio is a result of skill rather than luck. This provides a more accurate measure of a strategy's performance and allows for better comparisons between different strategies. The PSR is particularly useful for strategies with non-normal returns, as it takes into account the impact of skewness and kurtosis on the statistical significance of the observed Sharpe ratio.

7 months ago

Derek submitted the research Copying Congress Trades

Abstract

This research explores a trading algorithm that mimics trades made by U.S. Congress members, leveraging their privileged access to market-moving information. The Stop Trading on Congressional Knowledge (STOCK) Act mandates disclosure of such trades, enabling public access. Using the Quiver Quantitative dataset, the algorithm employs an inverse-volatility weighting scheme to balance risk across assets, limiting individual asset exposure to 10% to mitigate concentration risk. By forming a portfolio based on these disclosures, the strategy aims to capitalize on the informational advantage indirectly.

7 months ago

Derek submitted the research Head & Shoulders TA Pattern Detection

Abstract

This discussion focuses on the detection of the head and shoulders pattern in technical analysis. While technical analysis traders commonly use graphical patterns to identify trading opportunities, quant traders tend to overlook them due to subjectivity and difficulty in accurate detection. However, this tutorial presents a method to programmatically detect the head and shoulders pattern in an event-driven trading algorithm. The algorithm achieves greater risk-adjusted returns than the benchmarks during the backtesting period. The head and shoulders pattern consists of two shoulders, a tall head, and a neckline. It is believed to signal a bullish-to-bearish trend reversal. Further research can include testing other technical patterns, adjusting algorithm parameters, exploring new position sizing techniques, implementing different exit strategies, and incorporating risk management for corporate actions.

1 years ago

Derek submitted the research Futures Fast Trend Following, with Trend Strength

Abstract

This research focuses on Futures Fast Trend Following strategies that can be applied to both long and short positions, taking into account the strength of the trend. The purpose of the research is to explore the effectiveness of these strategies and their potential implications for trading in the futures market. The research utilizes various methods to analyze historical data and identify trends, and the key findings highlight the profitability and consistency of the trend following strategies. The implications of the research suggest that these strategies can be valuable tools for traders seeking to capitalize on trends in the futures market.

1 years ago

Derek submitted the research Combined Carry and Trend

Abstract

This research is a re-creation of strategy #11 from Advanced Futures Trading Strategies (Carver, 2023) that combines carry and trend strategies in futures trading. The algorithm incorporates exponential moving average crossover (EMAC) trend forecasts and carry forecasts to form a diversified portfolio. The results show that using both styles of strategies can improve risk-adjusted returns. Additionally, the research provides a background on how carry returns are calculated for different asset classes and how the strategy calculates and smooths carry from different future contracts.

1 years ago

Derek submitted the research Sector Rotation Based On News Sentiment

Abstract

Abstract: This tutorial explores a sector rotation strategy based on news sentiment using the LEAN algorithmic trading engine and datasets from the QuantConnect Dataset Market. The strategy involves monitoring the news sentiment for 25 different sector Exchange Traded Funds (ETFs) and periodically rebalancing the portfolio to maximize exposure to sectors with the highest public sentiment. Backtesting results demonstrate that the strategy consistently outperforms benchmark approaches. The tutorial provides details on universe selection, implementation, and presents equity curves and Sharpe ratios for different versions of the strategy and benchmarks. To replicate the results, users are encouraged to clone and backtest each algorithm.

2 years ago

Derek submitted the research Country Rotation Based On Regulatory Alerts Sentiment

Abstract

Abstract: This tutorial explores four alternative data strategies that utilize the US Regulatory Alerts dataset to make trading decisions. The strategies include capitalizing on movement in the healthcare sector in response to FDA announcements, capturing momentum in the Bitcoin-USD trading pair based on new Crypto regulations, exploiting trading patterns in the SPY based on specific regulatory alerts, and a country rotation strategy using NLP to detect sentiment in country ETFs. The results show that all four strategies outperform their respective benchmarks. The tutorial also discusses NLP and its role in trading strategies, as well as the implementation of the four strategies using the LEAN algorithmic trading engine.

2 years ago

Derek submitted the research Detecting Impactful News In ETF Constituents

Abstract

Abstract: This tutorial focuses on utilizing natural language processing (NLP) to detect impactful news in ETF constituents. Building upon a previous NLP strategy, we monitor the Tiingo News Feed to determine intraday news sentiment of the largest constituents in the Nasdaq-100 index, while avoiding look-ahead bias. The results indicate that this strategy has experienced lower risk-adjusted returns compared to the QQQ ETF over the past two years. The tutorial discusses the implementation of this strategy as a framework algorithm using the LEAN trading engine, including universe selection and portfolio construction. Backtesting results show a Sharpe ratio of -0.659, with comparisons to other benchmarks provided.

2 years ago

Derek started the discussion Plot Backtest Trade Fills in the Research Environment

Hi everyone!

2 years ago

Derek started the discussion New Insight Manager and Updates for Risk Management Models

Hi everyone,

2 years ago

Derek submitted the research Sortino Portfolio Optimization with Alpha Streams Algorithms

Abstract

QuantConnect provides trading infrastructure and data for quants to develop and deploy algorithmic trading strategies. They offer the Alpha Streams platform for quants to license their proprietary signals to investors. To assist investors in analyzing the performance of these signals, QuantConnect has released a new notebook that determines the optimal portfolio weights for each alpha, maximizing the portfolio's Sortino ratio. The Sortino ratio measures the strategy's average daily return in excess of a risk-free rate, divided by the standard deviation of negative daily returns. The notebook uses a walk-forward approach to avoid bias and overfitting, and the optimization is done on a rolling monthly basis.

3 years ago

Derek submitted the research Residual Momentum

Abstract

Residual momentum is a strategy where stocks with higher monthly residual returns outperform those with lower returns. It has been found to have less exposure to Fama-French factors, higher Sharpe ratios, and better out-of-sample performance compared to total return momentum strategies. Residual momentum is also more stable throughout the business cycle and tends to underperform during trending periods but outperform during reverting periods. This strategy is less concentrated in small-cap stocks, leading to lower trading costs and minimizing the impact of tax-loss selling. The algorithm imports custom data, selects a universe of stocks based on fundamental data and market cap, and rebalances the portfolio monthly by longing the top 10% and shorting the bottom 10% of stocks based on their scores.

4 years ago

Derek submitted the research Momentum In Mutual Fund Returns

Abstract

This discussion focuses on the momentum in mutual fund returns and the use of net asset value (NAV) as a predictor of future returns. The study suggests that historical returns and the proximity of NAV to a previous high can provide predictive power. The tutorial uses asset management firms' share prices as a proxy for fund performance and NAV. The performance of this trading strategy is compared to buying-and-holding the S&P 500 index ETF. The strategy generally has a lower Sharpe ratio than the benchmark, except during the 2020 stock market crash where it significantly outperformed with a Sharpe ratio of 9.3. The strategy also demonstrates more consistent returns compared to the benchmark across different testing periods.

4 years ago

Derek submitted the research Intraday ETF Momentum

Abstract

This tutorial implements an intraday momentum strategy for trading actively traded ETFs. The strategy predicts the sign of the last half-hour return based on the return generated in the first half-hour of the trading day. The algorithm is a recreation of the research conducted by Gao, Han, Li, and Zhou (2017), which found that this momentum pattern is statistically and economically significant. The tutorial provides background information on the characteristics of the opening and closing periods of trading, as well as the selection of ETFs for the strategy. The conclusion states that the momentum pattern produces lower returns compared to the S&P 500 benchmark, but outperforms the benchmark during the downfall of the 2020 crash.

4 years ago

Derek submitted the research Ichimoku Clouds In The Energy Sector

Abstract

4 years ago

Derek submitted the research Intraday Arbitrage Between Index ETFs

Abstract

4 years ago

Derek submitted the research Gradient Boosting Model

Abstract

This tutorial focuses on training a Gradient Boosting Model (GBM) to forecast intraday price movements of the SPY ETF using technical indicators. The implementation is based on research by Zhou et al (2013), who found that a GBM produced a high annualized Sharpe ratio. However, the tutorial's research shows that the model underperforms the SPY with its current parameter set during a 5-year backtest. The tutorial concludes by suggesting potential areas of further research to improve the model's performance. The GBM is trained by iteratively building regression trees to predict pseudo-residuals and making predictions based on the learning rate and regression tree outputs. Technical indicator values are used as inputs, and the mean squared error loss function is used to assess the model's performance.

4 years ago

Derek submitted the research Using News Sentiment To Predict Price Direction Of Drug Manufacturers

Abstract

Abstract: This tutorial explores the use of news sentiment to predict the price direction of drug manufacturers. By implementing an intraday strategy, we aim to capitalize on the upward drift in stock prices following positive news releases. Our findings show that combining this effect with the day-of-the-week anomaly can lead to profitable trading during the 2020 stock market crash. However, our algorithm underperforms the S&P 500 market index ETF, SPY, during the same period. The algorithm is inspired by the work of Isah, Shah, & Zulkernine (2018). We conclude that while the sentiment analysis strategy may not provide accurate results in the US drug manufacturing industry, profitability can be achieved by restricting trading to the most profitable day of the week. The strategy produces a negative Sharpe ratio of -1.

4 years ago

Derek submitted the research Gaussian Naive Bayes Model

Abstract

Abstract: This discussion focuses on the Gaussian Naïve Bayes (GNB) model and its application in forecasting the daily returns of stocks in the technology sector. The GNB model is trained using historical returns of the sector and compared to the performance of the SPY ETF over a 5-year backtest and during the 2020 stock market crash. The implementation of the GNB model shows a higher Sharpe ratio and lower variance compared to the SPY ETF. The algorithm used in this discussion is based on previous research and follows the principles of Naïve Bayes models. The GNB model assumes independence and normal distribution of feature vectors.

4 years ago

Derek started the discussion Strategy Library Addition: Intraday ETF Momentum

Hi everyone,

4 years ago

Derek started the discussion Strategy Library Addition: Momentum in Mutual Fund Returns

Hi everyone,

4 years ago

Derek started the discussion Strategy Library Addition: Gaussian Naive Bayes Model

Hi everyone,

4 years ago

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