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Quantitative Developer -- helping build, test, and debug community algorithms. Research and implement academic papers regarding algorithmic trading. Address and push fixes to LEAN

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

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

108Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

108Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

2Parameters

1Security Types

0Sortino Ratio

126Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

165.453Net Profit

32.312PSR

0.896Sharpe Ratio

0.152Alpha

0.005Beta

15.562CAR

30.4Drawdown

0Loss Rate

2Parameters

1Security Types

0Sortino Ratio

2464Tradeable Dates

1Trades

28.923Treynor Ratio

0Win Rate

165.453Net Profit

32.312PSR

0.896Sharpe Ratio

0.152Alpha

0.005Beta

15.562CAR

30.4Drawdown

0Loss Rate

2Parameters

1Security Types

0Sortino Ratio

2464Tradeable Dates

1Trades

28.923Treynor Ratio

0Win Rate

Jack submitted the research Idea Streams #4 - Nowcasting News Announcements of Vaccine Trials

In this episode of Idea Streams, the focus is on nowcasting news announcements of vaccine trials by biotech companies. Nowcasting involves using unstructured or semi-structured data to make short-term predictions, providing an advantage during times of crisis. The hypothesis is that the stock prices of biotech companies involved in coronavirus therapies will rise following positive news releases. The four steps to implementing a nowcasting strategy are explained, including identifying a cause-effect mechanism, developing an investment strategy, evaluating performance, and replacing perfect knowledge with nowcasted estimates. Various biotech companies involved in developing coronavirus vaccines and treatments are selected for initial testing of the cause-effect theory.

Jack submitted the research Idea Streams #5 - Tail Risk Hedging

In this episode of Idea Streams, the debate on tail risk hedging is explored. Tail risk events, such as market crashes, have led to discussions on whether hedging against them is beneficial. Nassim Nicholas Taleb argues that a hedge is valuable during extreme times, while Cliff Asness believes that the cost of hedging outweighs its benefits in the long term. To understand both sides, a tail risk strategy is implemented, involving buying SPY and hedging with OTM put options. Backtests are conducted with different allocations to SPY and put options to analyze the cost-benefit. The results provide insights into the effectiveness of tail risk hedging.

Jack left a comment in the discussion Issues with Lean Build on Visual Studio 2019

Hi Abhishek,

Jack left a comment in the discussion Sample trade to place Buy/Sell Order on Forex With TakeProfit and StopLoss

Hi Kiran,

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

108Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

108Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

2Parameters

1Security Types

0Sortino Ratio

126Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

165.453Net Profit

32.312PSR

0.896Sharpe Ratio

0.152Alpha

0.005Beta

15.562CAR

30.4Drawdown

0Loss Rate

2Parameters

1Security Types

0Sortino Ratio

2464Tradeable Dates

1Trades

28.923Treynor Ratio

0Win Rate

165.453Net Profit

32.312PSR

0.896Sharpe Ratio

0.152Alpha

0.005Beta

15.562CAR

30.4Drawdown

0Loss Rate

2Parameters

1Security Types

0Sortino Ratio

2464Tradeable Dates

1Trades

28.923Treynor Ratio

0Win Rate

161.875Net Profit

32.43PSR

0.909Sharpe Ratio

0.058Alpha

0.2Beta

7.441CAR

21.7Drawdown

88Loss Rate

9Parameters

2Security Types

0.409Sortino Ratio

3373Tradeable Dates

53Trades

0.393Treynor Ratio

12Win Rate

159.83Net Profit

26.873PSR

0.861Sharpe Ratio

0.047Alpha

0.307Beta

7.379CAR

23.9Drawdown

0Loss Rate

9Parameters

1Security Types

0Sortino Ratio

3373Tradeable Dates

2Trades

0.256Treynor Ratio

0Win Rate

9Parameters

0Security Types

2768Tradeable Dates

9Parameters

0Security Types

2768Tradeable Dates

9Parameters

0Security Types

2768Tradeable Dates

88.819Net Profit

3.886PSR

0.53Sharpe Ratio

0.008Alpha

0.442Beta

4.853CAR

31Drawdown

88Loss Rate

9Parameters

2Security Types

0.3431Sortino Ratio

3373Tradeable Dates

52Trades

0.123Treynor Ratio

12Win Rate

88.471Net Profit

2.66PSR

0.478Sharpe Ratio

-0.002Alpha

0.553Beta

4.839CAR

33.6Drawdown

0Loss Rate

9Parameters

1Security Types

0Sortino Ratio

3373Tradeable Dates

1Trades

0.101Treynor Ratio

0Win Rate

8Parameters

0Security Types

2768Tradeable Dates

8Parameters

0Security Types

2768Tradeable Dates

6Parameters

0Security Types

756Tradeable Dates

65.099Net Profit

98.1PSR

10.616Sharpe Ratio

5.783Alpha

-0.005Beta

807.879CAR

10.2Drawdown

42Loss Rate

56Parameters

1Security Types

2.2484Sortino Ratio

0Tradeable Dates

24Trades

-1244.382Treynor Ratio

58Win Rate

1Parameters

0Security Types

0Tradeable Dates

-30.509Net Profit

0.051PSR

-0.297Sharpe Ratio

-0.072Alpha

0.243Beta

-5.569CAR

43.5Drawdown

70Loss Rate

3Parameters

1Security Types

-0.0234Sortino Ratio

1598Tradeable Dates

7191Trades

-0.185Treynor Ratio

30Win Rate

204.419Net Profit

81.571PSR

1.497Sharpe Ratio

0Alpha

0Beta

24.771CAR

13.6Drawdown

57Loss Rate

57Parameters

1Security Types

0.028Sortino Ratio

0Tradeable Dates

54041Trades

0Treynor Ratio

43Win Rate

203.968Net Profit

81.38PSR

1.493Sharpe Ratio

0Alpha

0Beta

24.735CAR

13.7Drawdown

58Loss Rate

69Parameters

1Security Types

0.028Sortino Ratio

0Tradeable Dates

53996Trades

0Treynor Ratio

42Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

0Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

44.548Net Profit

12.796PSR

0.588Sharpe Ratio

0.056Alpha

-0.028Beta

7.424CAR

11.7Drawdown

50Loss Rate

25Parameters

2Security Types

0.0341Sortino Ratio

1293Tradeable Dates

21772Trades

-1.882Treynor Ratio

50Win Rate

9.835Net Profit

83.152PSR

2.672Sharpe Ratio

0.001Alpha

0.989Beta

27.774CAR

4.9Drawdown

0Loss Rate

1Parameters

1Security Types

0Sortino Ratio

97Tradeable Dates

1Trades

0.247Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

263Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

87.006Net Profit

43.798PSR

0.937Sharpe Ratio

0.106Alpha

0.027Beta

13.267CAR

21.2Drawdown

47Loss Rate

7Parameters

2Security Types

0.1561Sortino Ratio

0Tradeable Dates

1143Trades

4.1Treynor Ratio

53Win Rate

7.126Net Profit

40.699PSR

0.772Sharpe Ratio

0.078Alpha

-0.058Beta

7.764CAR

6.5Drawdown

59Loss Rate

37Parameters

1Security Types

0.0638Sortino Ratio

233Tradeable Dates

1267Trades

-1.112Treynor Ratio

41Win Rate

5.896Net Profit

41.114PSR

0.782Sharpe Ratio

0.065Alpha

-0.036Beta

6.774CAR

7.3Drawdown

63Loss Rate

37Parameters

1Security Types

0.0739Sortino Ratio

222Tradeable Dates

1142Trades

-1.564Treynor Ratio

37Win Rate

46.673Net Profit

61.856PSR

1.272Sharpe Ratio

0.39Alpha

0.098Beta

55.431CAR

20.1Drawdown

43Loss Rate

15Parameters

1Security Types

0.1141Sortino Ratio

220Tradeable Dates

754Trades

4.204Treynor Ratio

57Win Rate

40.017Net Profit

51.13PSR

1.025Sharpe Ratio

0.328Alpha

0.253Beta

47.339CAR

19.5Drawdown

42Loss Rate

15Parameters

1Security Types

0.0975Sortino Ratio

220Tradeable Dates

895Trades

1.517Treynor Ratio

58Win Rate

1.456Net Profit

9.028PSR

0.113Sharpe Ratio

0.011Alpha

0.019Beta

0.778CAR

21.8Drawdown

68Loss Rate

17Parameters

2Security Types

0.0062Sortino Ratio

682Tradeable Dates

4245Trades

0.629Treynor Ratio

32Win Rate

Jack submitted the research Idea Streams #4 - Nowcasting News Announcements of Vaccine Trials

In this episode of Idea Streams, the focus is on nowcasting news announcements of vaccine trials by biotech companies. Nowcasting involves using unstructured or semi-structured data to make short-term predictions, providing an advantage during times of crisis. The hypothesis is that the stock prices of biotech companies involved in coronavirus therapies will rise following positive news releases. The four steps to implementing a nowcasting strategy are explained, including identifying a cause-effect mechanism, developing an investment strategy, evaluating performance, and replacing perfect knowledge with nowcasted estimates. Various biotech companies involved in developing coronavirus vaccines and treatments are selected for initial testing of the cause-effect theory.

Jack submitted the research Idea Streams #5 - Tail Risk Hedging

In this episode of Idea Streams, the debate on tail risk hedging is explored. Tail risk events, such as market crashes, have led to discussions on whether hedging against them is beneficial. Nassim Nicholas Taleb argues that a hedge is valuable during extreme times, while Cliff Asness believes that the cost of hedging outweighs its benefits in the long term. To understand both sides, a tail risk strategy is implemented, involving buying SPY and hedging with OTM put options. Backtests are conducted with different allocations to SPY and put options to analyze the cost-benefit. The results provide insights into the effectiveness of tail risk hedging.

Jack left a comment in the discussion Charting Missing - backtesting-desktop

Hi Henno,

Jack left a comment in the discussion Issues with Lean Build on Visual Studio 2019

Hi Abhishek,

Jack left a comment in the discussion Sample trade to place Buy/Sell Order on Forex With TakeProfit and StopLoss

Hi Kiran,

Jack left a comment in the discussion Noob: Scheduling Event Error

Hi Michael,

Jack left a comment in the discussion Accessing Strike Price on Options Reseasrch Notebook

Hey Welly,

Jack left a comment in the discussion Signed Volume (Order Flow)

Hi John,Unfortunately, there is no direct method to get the entire Bid or Ask volume for a give...

Jack submitted the research Mean Reversion Statistical Arbitrage Strategy In Stocks

This tutorial discusses a mean reversion statistical arbitrage strategy in stocks based on principal component analysis (PCA). The strategy aims to take advantage of pricing inefficiencies between correlated securities. The algorithm uses a PCA-based approach to select a universe of stocks and rebalances the portfolio every 30 days. Backtests from 1997-2007 show that PCA-based strategies outperform ETF-based strategies in terms of Sharpe ratios. The results of the algorithm from Jan 2010 to Aug 2019 indicate an annual rate of return over 6% with a max drawdown of around 49% for nearly 10 years. The performance suggests that using PCA combined with linear regression to measure deviation is reasonable, and there are potential ways to further improve the strategy.

Jack left a comment in the discussion Charting Missing - backtesting-desktop

Hi Henno,

4 years ago