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6.907Net Profit
1.326Sharpe Ratio
0.412Alpha
-12.618Beta
17.402CAR
6.2Drawdown
62Loss Rate
1Security Types
0.068089259409296Sortino Ratio
0Tradeable Dates
483Trades
-0.013Treynor Ratio
38Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
146Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
146Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
1778Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
146Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
Lexx7 left a comment in the discussion Downloading pickled models from dropbox in Python
Does it work in research?
Lexx7 left a comment in the discussion Documentation discussion research/historical-data
I tried the below code and it ran successfully but returned an empty dataframe.
Lexx7 started the discussion Stocks on the Move / Equity Momentum
Hi,
Lexx7 left a comment in the discussion Algo Framework ETF Momentum Rebalancing using Mean Variance Optimization
Ok so I have tried playing around with the parameters. I set the below
6.907Net Profit
1.326Sharpe Ratio
0.412Alpha
-12.618Beta
17.402CAR
6.2Drawdown
62Loss Rate
1Security Types
0.068089259409296Sortino Ratio
0Tradeable Dates
483Trades
-0.013Treynor Ratio
38Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
146Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
146Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
1778Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
146Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
61Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
52.254Net Profit
1.352Sharpe Ratio
0.783Alpha
-24.51Beta
52.191CAR
19.2Drawdown
36Loss Rate
1Security Types
2.5847945635753Sortino Ratio
252Tradeable Dates
30Trades
-0.016Treynor Ratio
64Win Rate
-5.955Net Profit
-2.041Sharpe Ratio
-1.17Alpha
35.669Beta
-53.409CAR
12.3Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
19Tradeable Dates
10Trades
-0.016Treynor Ratio
0Win Rate
-1.088Net Profit
0.004Sharpe Ratio
-1.196Alpha
72.794Beta
-4.234CAR
22Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
125Tradeable Dates
10Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
1Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
0Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
0Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
0Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
0Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0.754Net Profit
0.416Sharpe Ratio
0.252Alpha
-5.77Beta
9.253CAR
10Drawdown
49Loss Rate
1Security Types
0.095428275431005Sortino Ratio
0Tradeable Dates
174Trades
-0.024Treynor Ratio
51Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
0Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
0Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0Net Profit
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Security Types
0Sortino Ratio
785Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
Lexx7 left a comment in the discussion Adaptive Asset Allocation: ReSolve Asset Management
This code has stopped working. I think symbol reference logic has changed? Can someone have a look...
Lexx7 left a comment in the discussion Downloading pickled models from dropbox in Python
Does it work in research?
Lexx7 left a comment in the discussion Documentation discussion research/historical-data
I tried the below code and it ran successfully but returned an empty dataframe.
Lexx7 started the discussion Stocks on the Move / Equity Momentum
Hi,
Lexx7 left a comment in the discussion Algo Framework ETF Momentum Rebalancing using Mean Variance Optimization
Ok so I have tried playing around with the parameters. I set the below
Lexx7 left a comment in the discussion Algo Framework ETF Momentum Rebalancing using Mean Variance Optimization
Nevermind.... cloned the wrong one.
Lexx7 left a comment in the discussion Algo Framework ETF Momentum Rebalancing using Mean Variance Optimization
Still doesn't work after changing that
Lexx7 started the discussion Help with Algo Issue : KeyError : -1
Hi, I dont understand why I am getting a KeyError: -1 ?
Lexx7 started the discussion How to get backtest results into Research?
Hi,
Lexx7 started the discussion Help with Simple Crypto Strategies
Hi QC Community,
Lexx7 started the discussion Setting Indicators on Universes
Hi All,
Lexx7 left a comment in the discussion Adaptive Asset Allocation: ReSolve Asset Management
This code has stopped working. I think symbol reference logic has changed? Can someone have a look...
4 years ago