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409.738Net Profit

0.224PSR

0.449Sharpe Ratio

0Alpha

0Beta

8.033CAR

58.9Drawdown

-0.59Loss Rate

35Parameters

1Security Types

0.437Sortino Ratio

5299Tradeable Dates

4185Trades

0Treynor Ratio

0.47Win Rate

119.224Net Profit

63.394PSR

1.328Sharpe Ratio

0Alpha

0Beta

28.6CAR

23.2Drawdown

-0.12Loss Rate

22Parameters

1Security Types

1.721Sortino Ratio

785Tradeable Dates

3803Trades

0Treynor Ratio

0.11Win Rate

3136.429Net Profit

15.099PSR

0.857Sharpe Ratio

0Alpha

0Beta

17.984CAR

32.4Drawdown

-0.14Loss Rate

21Parameters

1Security Types

1.002Sortino Ratio

5286Tradeable Dates

15541Trades

0Treynor Ratio

0.15Win Rate

Etienne started the discussion Register to additional security data inside Alpha model of framework

Hello,

Etienne started the discussion Andreas Clenow Momentum strategy (using Framework) from Stocks on the move book

Hi,

Etienne left a comment in the discussion Algorithm Framework Questions

Hi Daniel, I am sorry I missed 1 important detail for it to work. You need this line in the main...

Etienne left a comment in the discussion Algorithm Framework Questions

This doc will be useful if you need another frequency.

409.738Net Profit

0.224PSR

0.449Sharpe Ratio

0Alpha

0Beta

8.033CAR

58.9Drawdown

-0.59Loss Rate

35Parameters

1Security Types

0.437Sortino Ratio

5299Tradeable Dates

4185Trades

0Treynor Ratio

0.47Win Rate

119.224Net Profit

63.394PSR

1.328Sharpe Ratio

0Alpha

0Beta

28.6CAR

23.2Drawdown

-0.12Loss Rate

22Parameters

1Security Types

1.721Sortino Ratio

785Tradeable Dates

3803Trades

0Treynor Ratio

0.11Win Rate

3136.429Net Profit

15.099PSR

0.857Sharpe Ratio

0Alpha

0Beta

17.984CAR

32.4Drawdown

-0.14Loss Rate

21Parameters

1Security Types

1.002Sortino Ratio

5286Tradeable Dates

15541Trades

0Treynor Ratio

0.15Win Rate

Etienne started the discussion Register to additional security data inside Alpha model of framework

Hello,

Etienne started the discussion Andreas Clenow Momentum strategy (using Framework) from Stocks on the move book

Hi,

Etienne left a comment in the discussion Algorithm Framework Questions

I attached the backtest of your code when adding the line, seems to work without liquidation after...

Etienne left a comment in the discussion Algorithm Framework Questions

Hi Daniel, I am sorry I missed 1 important detail for it to work. You need this line in the main...

Etienne left a comment in the discussion Algorithm Framework Questions

This doc will be useful if you need another frequency.

Etienne left a comment in the discussion Algorithm Framework Questions

Hi Daniel,

Etienne left a comment in the discussion Andreas Clenow Momentum strategy (using Framework) from Stocks on the move book

Thanks for catching that error Vladimir

Etienne left a comment in the discussion Andreas Clenow Momentum strategy (using Framework) from Stocks on the move book

Hi Derek,

Etienne started the discussion Universe selection + alpha models updates

Hi,

Etienne started the discussion MACD Alpha model error

Hi,

Etienne started the discussion Clean logs - Securities without factor file

Hello, I have a simple issue with securities without factor file like the one below.

Etienne left a comment in the discussion Algorithm Framework Questions

I attached the backtest of your code when adding the line, seems to work without liquidation after...

3 years ago