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Biography

We are pioneering the radically future for open-source quant finance. QuantConnect is the world's largest quant community, empowering 280,000 quants with a framework, data, and infrastructure for their investments.

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 (139)

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Measured Fluorescent Pink Buffalo

283.297Net Profit

19.774PSR

0.722Sharpe Ratio

0.009Alpha

0.98Beta

14.373CAR

24.2Drawdown

-0.09Loss Rate

0Parameters

0Security Types

2516Tradeable Dates

3553Trades

0.096Treynor Ratio

0.11Win Rate

Square Orange Dragonfly

25.459Net Profit

59.88PSR

1.55Sharpe Ratio

0.537Alpha

-0.169Beta

97.424CAR

23.2Drawdown

-1.19Loss Rate

0Parameters

0Security Types

122Tradeable Dates

159Trades

-3.202Treynor Ratio

1.56Win Rate

Creative Red Leopard

92.151Net Profit

20.312PSR

0.565Sharpe Ratio

0.083Alpha

0.102Beta

15.095CAR

27Drawdown

33Loss Rate

0Parameters

1Security Types

0.69Sortino Ratio

1168Tradeable Dates

287Trades

0.905Treynor Ratio

67Win Rate

Square Fluorescent Pink Dolphin

115.041Net Profit

80.438PSR

1.679Sharpe Ratio

0.259Alpha

1.271Beta

65.214CAR

25.8Drawdown

42Loss Rate

0Parameters

1Security Types

2.141Sortino Ratio

384Tradeable Dates

1732Trades

0.316Treynor Ratio

58Win Rate

Hipster Brown Dog

40.675Net Profit

34.755PSR

0.598Sharpe Ratio

-0.009Alpha

1.422Beta

25.081CAR

25.5Drawdown

45Loss Rate

0Parameters

1Security Types

0.755Sortino Ratio

384Tradeable Dates

2023Trades

0.106Treynor Ratio

55Win Rate


Community

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

Thanks Sylvain - yes we'll publish it -- we rewrote it in C# for speed.

14 hours ago

Jared left a comment in the discussion Options data from IB

We also added TradeStation (including their data feed integrations) which might be a better fit. It...

8 days ago

Jared left a comment in the discussion Options data from IB

FYI We have laid out plans early 2025 for an OPRA feed built into QuantConnect. For now Polygon and...

8 days ago

Jared left a comment in the discussion Local Debugging of Cloud Projects not supported

Debugging local backtests with local data sources is supported (those docs linked). Debugging to...

17 days ago

Jared left a comment in the discussion SetStartDate not working

Hi Jason, 

23 days ago

Measured Fluorescent Pink Buffalo

283.297Net Profit

19.774PSR

0.722Sharpe Ratio

0.009Alpha

0.98Beta

14.373CAR

24.2Drawdown

-0.09Loss Rate

0Parameters

0Security Types

2516Tradeable Dates

3553Trades

0.096Treynor Ratio

0.11Win Rate

Square Orange Dragonfly

25.459Net Profit

59.88PSR

1.55Sharpe Ratio

0.537Alpha

-0.169Beta

97.424CAR

23.2Drawdown

-1.19Loss Rate

0Parameters

0Security Types

122Tradeable Dates

159Trades

-3.202Treynor Ratio

1.56Win Rate

Creative Red Leopard

92.151Net Profit

20.312PSR

0.565Sharpe Ratio

0.083Alpha

0.102Beta

15.095CAR

27Drawdown

33Loss Rate

0Parameters

1Security Types

0.69Sortino Ratio

1168Tradeable Dates

287Trades

0.905Treynor Ratio

67Win Rate

Square Fluorescent Pink Dolphin

115.041Net Profit

80.438PSR

1.679Sharpe Ratio

0.259Alpha

1.271Beta

65.214CAR

25.8Drawdown

42Loss Rate

0Parameters

1Security Types

2.141Sortino Ratio

384Tradeable Dates

1732Trades

0.316Treynor Ratio

58Win Rate

Hipster Brown Dog

40.675Net Profit

34.755PSR

0.598Sharpe Ratio

-0.009Alpha

1.422Beta

25.081CAR

25.5Drawdown

45Loss Rate

0Parameters

1Security Types

0.755Sortino Ratio

384Tradeable Dates

2023Trades

0.106Treynor Ratio

55Win Rate

Hyper Active Light Brown Badger

88.154Net Profit

84.034PSR

1.684Sharpe Ratio

0.07Alpha

1.728Beta

53.106CAR

17.9Drawdown

20Loss Rate

0Parameters

1Security Types

2.101Sortino Ratio

0Tradeable Dates

550Trades

0.18Treynor Ratio

80Win Rate

Smooth Fluorescent Yellow Zebra

98.915Net Profit

24.876PSR

0.622Sharpe Ratio

0.03Alpha

0.738Beta

15.952CAR

25.5Drawdown

51Loss Rate

0Parameters

2Security Types

0.683Sortino Ratio

1696Tradeable Dates

523Trades

0.13Treynor Ratio

49Win Rate

Retrospective Green Bull

65.619Net Profit

87.598PSR

1.077Sharpe Ratio

0.032Alpha

0.285Beta

12.67CAR

7.4Drawdown

9Loss Rate

0Parameters

2Security Types

0.844Sortino Ratio

1065Tradeable Dates

89Trades

0.214Treynor Ratio

91Win Rate

Measured Yellow Green Dog

66.379Net Profit

92.979PSR

1.704Sharpe Ratio

0.068Alpha

0.906Beta

36.305CAR

7.8Drawdown

32Loss Rate

0Parameters

1Security Types

2.272Sortino Ratio

0Tradeable Dates

1678Trades

0.214Treynor Ratio

68Win Rate

Logical Yellow Green Hyena

66.379Net Profit

92.997PSR

1.706Sharpe Ratio

0.068Alpha

0.906Beta

36.375CAR

7.8Drawdown

32Loss Rate

0Parameters

1Security Types

2.278Sortino Ratio

0Tradeable Dates

1678Trades

0.214Treynor Ratio

68Win Rate

Energetic Orange Lion

73.231Net Profit

79.668PSR

1.493Sharpe Ratio

0.044Alpha

1.505Beta

45.013CAR

17.8Drawdown

24Loss Rate

0Parameters

1Security Types

1.793Sortino Ratio

0Tradeable Dates

512Trades

0.172Treynor Ratio

76Win Rate

Measured Fluorescent Pink kitten

84.228Net Profit

64.035PSR

1.273Sharpe Ratio

0Alpha

0Beta

51.139CAR

27.6Drawdown

40Loss Rate

0Parameters

1Security Types

1.518Sortino Ratio

462Tradeable Dates

589Trades

0Treynor Ratio

60Win Rate

Jumping Sky Blue Pelican

180.716Net Profit

72.991PSR

4.023Sharpe Ratio

4.147Alpha

0.173Beta

426.555CAR

65Drawdown

0Loss Rate

0Parameters

2Security Types

5.551Sortino Ratio

194Tradeable Dates

2Trades

24.065Treynor Ratio

0Win Rate

Hipster Yellow Kangaroo

180.28Net Profit

73.008PSR

4.042Sharpe Ratio

4.176Alpha

0.175Beta

429.114CAR

65Drawdown

0Loss Rate

0Parameters

2Security Types

5.59Sortino Ratio

193Tradeable Dates

2Trades

24.04Treynor Ratio

0Win Rate

Alert Black Termite

902.667Net Profit

93.526PSR

4.135Sharpe Ratio

3.001Alpha

0.5Beta

436.573CAR

37.2Drawdown

0Loss Rate

0Parameters

2Security Types

6.201Sortino Ratio

425Tradeable Dates

2Trades

6.105Treynor Ratio

0Win Rate

Energetic Green Flamingo

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

3Security Types

0Sortino Ratio

1Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Pensive Sky Blue Dogfish

0Parameters

1Security Types

376Tradeable Dates

Muscular Yellow Pig

25.51Net Profit

58.704PSR

0.659Sharpe Ratio

-0.027Alpha

0.758Beta

16.319CAR

10.3Drawdown

0Loss Rate

6Parameters

0Security Types

375Tradeable Dates

3Trades

0.083Treynor Ratio

0Win Rate

Retrospective Fluorescent Orange Bear

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

0Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Hyper Active Brown Shark

24.921Net Profit

78.85PSR

0.89Sharpe Ratio

0.009Alpha

0.36Beta

15.975CAR

7Drawdown

-0.05Loss Rate

4Parameters

0Security Types

377Tradeable Dates

239Trades

0.168Treynor Ratio

0.06Win Rate

Energetic Asparagus Hamster

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Parameters

0Security Types

5996Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

[Debugging] Crawling Sky Blue Rabbit

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Parameters

0Security Types

5996Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Focused Asparagus Llama

-4.079Net Profit

0.594PSR

-0.043Sharpe Ratio

-0.012Alpha

0.048Beta

-0.829CAR

33.8Drawdown

-0.1Loss Rate

7Parameters

0Security Types

1258Tradeable Dates

22533Trades

-0.17Treynor Ratio

0.43Win Rate

Sleepy Sky Blue Albatross

24.732Net Profit

72.445PSR

1.013Sharpe Ratio

-0.008Alpha

0.759Beta

21.361CAR

10.2Drawdown

0Loss Rate

3Parameters

0Security Types

285Tradeable Dates

3Trades

0.127Treynor Ratio

0Win Rate

Virtual Fluorescent Pink Bat

9.984Net Profit

20.06PSR

0.03Sharpe Ratio

-0.036Alpha

0.768Beta

6.51CAR

14.3Drawdown

0Loss Rate

3Parameters

0Security Types

377Tradeable Dates

3Trades

0.005Treynor Ratio

0Win Rate

Crying Red Orange kitten

3.494Net Profit

18.028PSR

-0.464Sharpe Ratio

-0.03Alpha

0.394Beta

2.758CAR

7.6Drawdown

0Loss Rate

1Parameters

0Security Types

318Tradeable Dates

1Trades

-0.068Treynor Ratio

0Win Rate

Casual Asparagus Frog

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

3Parameters

0Security Types

1006Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Crying Black Chicken

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

10Parameters

0Security Types

1253Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Square Red Orange Pig

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

10Parameters

1Security Types

0Sortino Ratio

379Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Dancing Green Parrot

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

6Parameters

1Security Types

0Sortino Ratio

2Tradeable Dates

46Trades

0Treynor Ratio

0Win Rate

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

Thanks Sylvain - yes we'll publish it -- we rewrote it in C# for speed.

14 hours ago

Jared left a comment in the discussion Options data from IB

We also added TradeStation (including their data feed integrations) which might be a better fit. It...

8 days ago

Jared left a comment in the discussion Options data from IB

FYI We have laid out plans early 2025 for an OPRA feed built into QuantConnect. For now Polygon and...

8 days ago

Jared left a comment in the discussion Local Debugging of Cloud Projects not supported

Debugging local backtests with local data sources is supported (those docs linked). Debugging to...

17 days ago

Jared left a comment in the discussion SetStartDate not working

Hi Jason, 

23 days ago

Jared left a comment in the discussion Database of Economic Events

Dee Znut  - Very soon yes, we just added EODHD's events data.

1 months ago

Jared submitted the research Micro Study: Yen Carry Trade

Abstract

This micro-study investigates the Yen Carry Trade, a strategy leveraging low Japanese interest rates to invest in higher-yield assets like US Treasuries. The study examines the recent unwinding of this trade, prompted by Japan's interest rate hike from 0% to 0.25%, which led to rapid strengthening of the Yen. Using QuantConnect, the strategy was modeled with USDJPY FX pair and BIL US ETF Bond, simulating $80M in holdings with $1M collateral. Despite a Sharpe ratio of 16 for most of 2024, the strategy faced a 60% drawdown recently. Future improvements could include risk controls and monitoring central bank decisions.

3 months ago

Jared submitted the research Idea Streams #1 - Tranche Rebalancing Risk Parity

Abstract

In this QuantConnect discussion, the topic of tranche rebalancing risk parity is explored. The traditional strategy of allocating 60% to equities and 40% to bonds has been successful in the past, but during the 2020 market crash, both equities and bonds suffered simultaneously, causing many funds to struggle. The fluctuating prices of stocks and bonds require periodic rebalancing, and the tranche method suggests only partially correcting the weights when rebalancing. AQR and Bloomberg found that rebalancing only 25% of the way to the target allocations resulted in smaller trades and lower turnover during times of high volatility. The authors of this discussion sought to reproduce these results and test the effectiveness of tranche rebalancing compared to fully rebalancing. The backtest was conducted using the SPY ETF for equities and the SHY government bond ETF, with the start date set to January 1, 2003.

3 years ago

Jared submitted the research Idea Streams #2 - Modeling Unemployment Rates with SKLearn

Abstract

In this QuantConnect discussion, the focus is on modeling unemployment rates using the SKLearn library. The article highlights the significant increase in the US unemployment rate due to the COVID-19 pandemic and explores the potential relationship between unemployment rates and the stock market. The analysis involves gathering unemployment rate and initial claims datasets from the Federal Reserve Economic Database and adjusting the timestamps to remove lookahead bias. Linear regression models are then trained using the datasets to predict the price of SPY. The results show high R-Square values for the training regression models, indicating a strong correlation between the unemployment rates and stock market prices. However, the testing regression results show lower R-Square values, suggesting that the models may not perform well on out-of-sample data.

3 years ago

Jared submitted the research Idea Streams #3 - Seeking Diversification Amidst Global Market Correlations

Abstract

In this QuantConnect discussion, the focus is on seeking diversification amidst global market correlations. The rise in correlation between the CSI 300 Index and the S&P 500 index is attributed to the disruption caused by the coronavirus. To study this, the correlation plot is reproduced using ETFs such as SPY, FXI, EWI, VGK, GLD, and SHY. A trading algorithm is then implemented to rebalance the portfolio daily, allocating half to SPY and half to the asset with the lowest correlation to SPY over the last 120 days. Backtesting the strategy resulted in a 0.813 Sharpe ratio and a 17.9% drawdown, outperforming the market benchmark.

3 years ago

Jared submitted the research Vix Predicts Stock Index Returns

Abstract

This discussion explores the relationship between the VIX Index and stock index returns. The VIX Index is calculated based on the implied volatilities of options on the S&P100 index. Extreme levels of the VIX Index can indicate future equity index returns. The algorithm aims to determine if the VIX Index can be used as a forward-looking indicator for stock index returns. To do this, the algorithm defines large and small implied volatility levels by creating 20 equally spaced percentiles for the VIX Index's historical close prices. The algorithm imports daily VIX data and compares the current VIX index price to these percentiles. The S&P100 Index is used as the corresponding stock index.

5 years ago

Jared submitted the research Three Common Implementation Mistakes

Abstract

In this QuantConnect discussion, the focus is on three common implementation mistakes that even experienced quants make in their strategies. The first mistake is not debouncing the algorithm, which means ensuring it only fires once per trading signal to increase efficiency. The second mistake is triggering orders multiple times per signal, which can lead to cash flow mismanagement. The third mistake is using too many variables and optimizing the algorithm excessively, which can result in curve fitting and unreliable profitability. To help users avoid these mistakes, QuantConnect offers a free video tutorial on coding the Exponential Moving Average Strategy, providing a coding walk-through and tips on building a strategy while avoiding these common pitfalls.

10 years ago

Jared submitted the research The Importance of Benchmarking

Abstract

In this QuantConnect discussion, the importance of benchmarking in measuring strategy performance is highlighted. The two techniques for measuring performance are relative and absolute performance. Absolute return strategies aim for consistent returns regardless of market conditions, while relative return strategies compare the strategy to a market index. The choice of benchmark can vary, with the S&P500 being a common choice. QuantConnect has integrated benchmarking functionality into the results panel, allowing users to compare their strategy's performance to major indices. To demonstrate this functionality, a video has been created showcasing the implementation of the "Sell in May and Go Away" strategy benchmarked against the S&P500. The implementation achieved similar returns with lower volatility, resulting in an overall better than market strategy.

10 years ago

Jared submitted the research RSI Indicator with Martingale Position Sizing

Abstract

Abstract: This discussion explores the use of the Martingale position sizing technique in trading strategies, specifically in combination with the Relative Strength Index (RSI) indicator. The Martingale technique involves increasing bet sizes after losses to potentially recover losses and generate profits. The discussion highlights the risks associated with Martingale position sizing, including limited leverage and fluctuating win-loss probabilities in real trading scenarios. The authors present a martingale position management algorithm and backtest it on 15 years of data using QuantConnect. The results show that the algorithm outperforms the absolute return of the SPY over the same period but exhibits higher volatility and a lower Sharpe Ratio. The discussion concludes by suggesting areas for further experimentation to enhance the strategy's performance.

10 years ago

Jared started the discussion Missing Stock Symbols

Occasionally users find symbols which aren't in the database, or have confusing symbol names. If...

10 years ago

Jared started the discussion QCU-Sell in May

A algorithm for easy cloning to go with the blog "Sell in May"...

10 years ago

Jared started the discussion QCU-Exp. Moving Average Cross 50d-10d

An implementation of the classic exponential moving average cross for the QuantConnect University...

10 years ago

Jared started the discussion 5 Minute Bar Consolidator

QCU example summary code for creating X-minute bars from 1 minute TradeBar data. The open source...

10 years ago

Jared started the discussion New Feature - Stock Order Plotting

After a few long nights hacking we've released an awesome new feature - stock price plotting with...

10 years ago

Jared started the discussion New Blog - The Importance of Bench-marking

Today we released another video in our QuantConnect University series called "The Importance of...

10 years ago

Jared started the discussion QCU RSI-Martingale Position Management

Algorithm uses Relative Strength Index (RSI) to control entry into market, and then martingale to...

10 years ago

Jared started the discussion QCU Weather Based Rebalancing

We took NYC temperature weather data imported from an external source and used it as a weighting...

10 years ago

Jared started the discussion Nice smooth curve, but low sharpe.

Experiment using equity GE and very small trading packets. Perhaps could be better with some...

11 years ago

Jared started the discussion New Members - Say Hello!

This was just created for fun for new people to say hello! Don't be shy reach out and let us know...

11 years ago

Jared started the discussion New Dataset - Crowd EPS Predictions

We just added a new high quality datasets from our data partners Estimize.com! You can request this...

11 years ago

Jared started the discussion LaTeX Formatting Support

We added LaTeX formatting support for beautiful algorithms, if you'd like more information on how...

11 years ago

Jared started the discussion Math Libraries?

We're adding C# math/science libraries at the moment so its an ideal time to take requests -- I've...

11 years ago

Jared started the discussion SPY Dollar Averaging

2012 was a rough year for SPY.

11 years ago

Jared started the discussion QCAlgorithm Open Sourced

You can now compile your entire algorithm locally, using your local IDE, local autocomplete etc. We...

11 years ago

Jared started the discussion Bug Reports

Lets face it - bugs are almost a certainty! QuantConnect has tens of thousands of lines of code and...

11 years ago

Jared started the discussion Adjusted Pricing

Just an notice -- we changed the pricing to use adjusted pricing. This gives continuity of pricing...

11 years ago

Jared started the discussion Statistics & Reporting Calculations

Hello all, we updated the statistics calculations to tidy them up -

11 years ago

Jared started the discussion Server Costs Correlation with BitCoin Prices?

We've seen a dramatic rise in the cost of our servers that run the back tests in the recent weeks....

11 years ago

Jared started the discussion Trade-Equity Validation Excel WorkSheet

We made an excel worksheet I thought we'd share. It is used to confirm the running portfolio equity...

11 years ago