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Previously Quantitative Support and Developer @ 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.

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

12Parameters

1Security Types

0Sortino Ratio

2967Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

5Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

5Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

-7.972Net Profit

-1.957Sharpe Ratio

-0.333Alpha

-4.997Beta

-36.966CAR

10.1Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

45Tradeable Dates

1Trades

0.086Treynor Ratio

0Win Rate

-2.832Net Profit

-0.522Sharpe Ratio

-0.019Alpha

0.7Beta

-0.954CAR

4.7Drawdown

100Loss Rate

1Security Types

0Sortino Ratio

927Tradeable Dates

2Trades

-0.011Treynor Ratio

0Win Rate

Gurumeher started the discussion Using Live Trading for Signals/Notifications (NOT TRADES)

Recently I have been scalp trading on a brokerage that isn't supported by QuantConnect (BitSeven)...

Gurumeher left a comment in the discussion Stock universe filter with moving average

Hey Marc, take a look at the docs here. Filtering the universe by a technical indicator is possible...

Gurumeher left a comment in the discussion Bollinger Band problem

Hey Patrik, the problem was in the initialization of the BollingerBands object. The parameter k was...

Gurumeher left a comment in the discussion Consolidators and Scheduled Events

Hi Nitesh, try taking a look at the OnDataConsolidated event handler. Once the bar is created, the...

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

12Parameters

1Security Types

0Sortino Ratio

2967Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

5Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

5Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

-7.972Net Profit

-1.957Sharpe Ratio

-0.333Alpha

-4.997Beta

-36.966CAR

10.1Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

45Tradeable Dates

1Trades

0.086Treynor Ratio

0Win Rate

-2.832Net Profit

-0.522Sharpe Ratio

-0.019Alpha

0.7Beta

-0.954CAR

4.7Drawdown

100Loss Rate

1Security Types

0Sortino Ratio

927Tradeable Dates

2Trades

-0.011Treynor Ratio

0Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

23Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

2.625Net Profit

0.167Sharpe Ratio

0.132Alpha

-5.634Beta

1.249CAR

20.7Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

524Tradeable Dates

3Trades

-0.003Treynor Ratio

100Win Rate

117.196Net Profit

0.906Sharpe Ratio

0.037Alpha

6.649Beta

16.459CAR

17.8Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

1281Tradeable Dates

1Trades

0.026Treynor Ratio

0Win Rate

-1.052Net Profit

-5.779Sharpe Ratio

0Alpha

-47.909Beta

-61.892CAR

2.4Drawdown

90Loss Rate

1Security Types

-0.019115331671902Sortino Ratio

4Tradeable Dates

268Trades

0.011Treynor Ratio

10Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

53Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

5Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

-0.178Net Profit

-1.781Sharpe Ratio

0.308Alpha

-35.942Beta

-12.778CAR

0.8Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

5Tradeable Dates

1Trades

0.002Treynor Ratio

0Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

5Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

2Security Types

0Sortino Ratio

8Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

2Security Types

0Sortino Ratio

8Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0.285Net Profit

6.322Sharpe Ratio

0Alpha

17.339Beta

58.586CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

2Tradeable Dates

1Trades

0.01Treynor Ratio

0Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

1718Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

27.786Net Profit

0.588Sharpe Ratio

-0.01Alpha

1.587Beta

2.108CAR

4.9Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

2957Tradeable Dates

14Trades

0.014Treynor Ratio

100Win Rate

37.037Net Profit

1.102Sharpe Ratio

1.227Alpha

-30.668Beta

58.422CAR

34.7Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

171Tradeable Dates

14Trades

-0.02Treynor Ratio

100Win Rate

6.968Net Profit

0.218Sharpe Ratio

0.039Alpha

-1.548Beta

0.721CAR

7.9Drawdown

40Loss Rate

2Security Types

0.24101807955312Sortino Ratio

3421Tradeable Dates

110Trades

-0.005Treynor Ratio

60Win Rate

48.548Net Profit

0.822Sharpe Ratio

0.082Alpha

-0.208Beta

7.585CAR

13.7Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

1364Tradeable Dates

11Trades

-0.372Treynor Ratio

100Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

129Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

-2.012Net Profit

-0.044Sharpe Ratio

1.025Alpha

-54.928Beta

-11.277CAR

14.7Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

44Tradeable Dates

1Trades

0Treynor Ratio

0Win Rate

1Security Types

147Tradeable Dates

1.462Net Profit

0.083Sharpe Ratio

-0.027Alpha

1.674Beta

0.26CAR

9.1Drawdown

65Loss Rate

1Security Types

-0.030858117859397Sortino Ratio

1406Tradeable Dates

3015Trades

0.002Treynor Ratio

35Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

22Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

147Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

78.55Net Profit

0.218Sharpe Ratio

0.001Alpha

1.924Beta

2.853CAR

52.4Drawdown

38Loss Rate

2Security Types

1.8133745841417Sortino Ratio

7521Tradeable Dates

16Trades

0.014Treynor Ratio

62Win Rate

293.959Net Profit

0.613Sharpe Ratio

-0.001Alpha

4.883Beta

9.183CAR

16Drawdown

8Loss Rate

2Security Types

0Sortino Ratio

5696Tradeable Dates

19Trades

0.014Treynor Ratio

92Win Rate

214.489Net Profit

0.597Sharpe Ratio

0Alpha

3.991Beta

7.618CAR

18.6Drawdown

11Loss Rate

2Security Types

0Sortino Ratio

5696Tradeable Dates

15Trades

0.014Treynor Ratio

89Win Rate

Gurumeher started the discussion Using Live Trading for Signals/Notifications (NOT TRADES)

Recently I have been scalp trading on a brokerage that isn't supported by QuantConnect (BitSeven)...

Gurumeher left a comment in the discussion How to define a security to use based on date/time?

Hi Sanjay, the self.Time property can be useful for this algorithm. The self.Time property is the...

Gurumeher left a comment in the discussion Stock universe filter with moving average

Hey Marc, take a look at the docs here. Filtering the universe by a technical indicator is possible...

Gurumeher left a comment in the discussion Bollinger Band problem

Hey Patrik, the problem was in the initialization of the BollingerBands object. The parameter k was...

Gurumeher left a comment in the discussion Consolidators and Scheduled Events

Hi Nitesh, try taking a look at the OnDataConsolidated event handler. Once the bar is created, the...

Gurumeher left a comment in the discussion RSI Strategy Query

Hi Yao, I was able to draft up a quick algorithm. You can see in the backtest below I implemented...

Gurumeher left a comment in the discussion Error in Scheduling

HiĀ Georgios, the error comes from the line:

Gurumeher submitted the research Paired Switching

Abstract: Paired switching is an investment strategy that involves periodically switching positions between two assets that are negatively correlated. The goal is to improve the performance of a portfolio by capitalizing on the relative performance of the two assets. This strategy assumes that a mixed portfolio of the two assets would result in lower returns compared to holding the assets individually. The method involves analyzing the historical prices of the two assets on a quarterly basis and buying the asset that has a higher return during the period. The position is held for one quarter before repeating the analysis. This abstract summarizes the concept of paired switching and its methodology.

Gurumeher submitted the research Accrual Anomaly

The accrual anomaly strategy aims to determine if a company's earnings are based on real cash inflow or questionable accounting practices. Companies with lower levels of accruals are believed to have more certain earnings and should earn higher market returns. This strategy involves taking a long position in low accrual companies and a short position in high accrual companies. However, implementing this strategy requires fundamental data from the current and past year, making it currently impractical for live trading. The method involves selecting an investment universe with stocks that have fundamental data and analyzing the annual changes in balance sheet data. The portfolio is rebalanced annually in June.

Gurumeher submitted the research Asset Growth Effect

The asset growth effect is a phenomenon where stocks with low asset growth outperform stocks with high asset growth. This effect is believed to be driven by two main factors. First, as firms grow, the risk associated with their assets decreases, as assets-in-place replace the need for future investments. Second, there is a market mispricing of growing businesses, as past gains are extrapolated into future growth for high asset growth companies. This strategy involves taking a long position in low asset growth companies and a short position in high asset growth companies. It requires fundamental data from the current and past year for analysis. The strategy is implemented by creating an investment universe of non-financial U.S. stocks and rebalancing the portfolio annually.

Gurumeher submitted the research Momentum Effect In REITs

The momentum effect is a phenomenon that suggests that assets that have been performing well in the past are likely to continue performing well in the near future. In the case of REITs, studies have shown that REITs with strong past performance tend to outperform those with weaker performance. This strategy aims to capitalize on this momentum effect by taking long positions in REITs with the highest momentum and rebalancing the portfolio on a quarterly basis. The method involves selecting a universe of stocks based on certain criteria, such as price, fundamental data, and liquidity. The strategy is supported by research from Quantpedia on the momentum effect in REITs.

Gurumeher started the discussion RSI and Resistance Strategy

Hi,

Gurumeher started the discussion Ramadan Effect (Maybe Can Extrapolate)

Research suggests that the euphoria derived from Ramadan could influence investor behavior in...

Gurumeher left a comment in the discussion How to define a security to use based on date/time?

Hi Sanjay, the self.Time property can be useful for this algorithm. The self.Time property is the...

5 years ago