Louis Szeto
Quantitative Developer
Date Joined
1st May, 2020
Bootcamp progress
99% Complete
Achievements
Algorithm Sharing
Share an algorithm with the community by making your algorithm public.
2021-03-31 15:27:48
Chatter Box
Leave at least 100 comments on community posts.
2021-07-02 05:52:16
Backtester
Run at least 100 backtests on QuantConnect's cloud.
2020-05-04 15:14:35
Live Trading
Deploy a live trading algorithm using one of QuantConnect's supported brokerages.
2020-05-19 15:06:47
Parallel Live Trading
Run multiple live algorithms simultaneously.
2021-06-17 00:04:33
Cloner
Clone at least 100 algorithms from the community.
2021-07-10 17:39:39
C# Programming
Choose C# as your preferred programming language.
2021-06-07 01:35:17
Python Programming
Choose Python as your preferred programming language.
2020-05-01 15:37:47
Popular
Receive at least 10 upvotes from different users in the community.
2021-06-15 06:36:18
Staff
Become a member of the QuantConnect team.
2021-08-12 02:31:53
Bug Hunter
Report at least 10 bugs to QuantConnect.
2021-03-08 01:43:34
Community Editor
Granted when you earn community moderation privileges.
2022-05-25 16:04:12
Open Source Contributor
Contribute to the QuantConnect open source project on GitHub.
2021-06-15 01:22:28
Boot Camp Private
Complete a beginner bootcamp in the algorithm lab.
2021-06-11 13:23:55
Boot Camp Corporal
Complete an advanced bootcamp in the algorithm lab.
2021-06-17 08:19:24
Verified User
Verify your identity and become a verified QuantConnect user.
2021-08-12 02:28:10
Alpha Streams Developer
Have at least 1 Alpha Stream submission approved.
2020-08-21 16:37:03
Alpha Streams Artisan
Have at least 3 Alpha Stream submissions approved.
2020-09-02 01:50:03
Outstanding Community Service
Awarded by administrators for outstanding voluntary support of other community members.
2021-06-15 00:10:59
Connected with Discord
2023-02-01 03:13:52
- Profile
- Backtests
- Community
Biography
Activity on QuantConnect
This section highlights your contributions and engagement across the QuantConnect platform — including backtests, live trades, published research, and community involvement through comments and threads. It reflects your overall activity as part of the QuantConnect community.
Public Backtests (218)
View More156.294Net Profit
46.925PSR
0.837Sharpe Ratio
0.01Alpha
0.895Beta
20.686CAR
17.2Drawdown
-0.07Loss Rate
16Parameters
1Security Types
1257Tradeable Dates
2340Trades
0.131Treynor Ratio
0.11Win Rate
195.39Net Profit
43.781PSR
0.823Sharpe Ratio
0.052Alpha
0.611Beta
19.787CAR
27.1Drawdown
-1.06Loss Rate
18Parameters
1Security Types
1509Tradeable Dates
414Trades
0.192Treynor Ratio
1.01Win Rate
268.236Net Profit
78.092PSR
1.154Sharpe Ratio
0.104Alpha
0.376Beta
24.271CAR
18.2Drawdown
-1.38Loss Rate
20Parameters
1Security Types
1509Tradeable Dates
225Trades
0.383Treynor Ratio
2.24Win Rate
-6.485Net Profit
0.502PSR
-0.141Sharpe Ratio
-0.031Alpha
0.12Beta
-1.48CAR
31.5Drawdown
-0.42Loss Rate
49Parameters
2Security Types
1396Tradeable Dates
1163Trades
-0.156Treynor Ratio
0.4Win Rate
-28.86Net Profit
0.333PSR
-0.117Sharpe Ratio
-0.055Alpha
0.23Beta
-7.292CAR
58Drawdown
-0.66Loss Rate
49Parameters
2Security Types
1396Tradeable Dates
1527Trades
-0.133Treynor Ratio
0.6Win Rate
Community
View MoreLouis left a comment in the discussion Algorithmic Trading Video Course #5
Hi Bounty909. Yes, we do require a credit card to limit a free account per user to avoid abuse of...
Louis left a comment in the discussion Copy logs / download logs
Hi J
Louis left a comment in the discussion Trading fractional shares with Alpaca
Hi Zachary! Sorry to inform that for Equities, set_holdings cannot support fractional shares yet.
Louis left a comment in the discussion Opening Range Breakout for Stocks in Play
Hi Amir! You might consider around 4-5mb of RAM per symbol scription is needed, so I'd say a L2-4...
156.294Net Profit
46.925PSR
0.837Sharpe Ratio
0.01Alpha
0.895Beta
20.686CAR
17.2Drawdown
-0.07Loss Rate
16Parameters
1Security Types
1257Tradeable Dates
2340Trades
0.131Treynor Ratio
0.11Win Rate
195.39Net Profit
43.781PSR
0.823Sharpe Ratio
0.052Alpha
0.611Beta
19.787CAR
27.1Drawdown
-1.06Loss Rate
18Parameters
1Security Types
1509Tradeable Dates
414Trades
0.192Treynor Ratio
1.01Win Rate
268.236Net Profit
78.092PSR
1.154Sharpe Ratio
0.104Alpha
0.376Beta
24.271CAR
18.2Drawdown
-1.38Loss Rate
20Parameters
1Security Types
1509Tradeable Dates
225Trades
0.383Treynor Ratio
2.24Win Rate
-6.485Net Profit
0.502PSR
-0.141Sharpe Ratio
-0.031Alpha
0.12Beta
-1.48CAR
31.5Drawdown
-0.42Loss Rate
49Parameters
2Security Types
1396Tradeable Dates
1163Trades
-0.156Treynor Ratio
0.4Win Rate
-28.86Net Profit
0.333PSR
-0.117Sharpe Ratio
-0.055Alpha
0.23Beta
-7.292CAR
58Drawdown
-0.66Loss Rate
49Parameters
2Security Types
1396Tradeable Dates
1527Trades
-0.133Treynor Ratio
0.6Win Rate
252.399Net Profit
73.406PSR
1.092Sharpe Ratio
0.1Alpha
0.356Beta
23.363CAR
16.6Drawdown
-1.31Loss Rate
20Parameters
1Security Types
1509Tradeable Dates
304Trades
0.388Treynor Ratio
1.76Win Rate
969.777Net Profit
36.153PSR
0.987Sharpe Ratio
0.296Alpha
0.976Beta
48.442CAR
50.3Drawdown
-2.04Loss Rate
38Parameters
2Security Types
1510Tradeable Dates
603Trades
0.41Treynor Ratio
2.72Win Rate
925.426Net Profit
34.817PSR
0.97Sharpe Ratio
0.288Alpha
0.985Beta
47.398CAR
51.7Drawdown
-2.03Loss Rate
38Parameters
2Security Types
1510Tradeable Dates
603Trades
0.399Treynor Ratio
2.73Win Rate
158.885Net Profit
24.525PSR
0.646Sharpe Ratio
0Alpha
0.998Beta
17.182CAR
33.7Drawdown
0Loss Rate
6Parameters
1Security Types
1509Tradeable Dates
1Trades
0.106Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
0Parameters
1Security Types
0Sortino Ratio
0Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
-99.982Net Profit
0PSR
-2.544Sharpe Ratio
-0.92Alpha
-0.182Beta
-95.909CAR
100Drawdown
97Loss Rate
0Parameters
1Security Types
-1.84Sortino Ratio
674Tradeable Dates
93143Trades
5.066Treynor Ratio
3Win Rate
-19.367Net Profit
1.249PSR
-0.317Sharpe Ratio
-0.067Alpha
-0.169Beta
-7.685CAR
29Drawdown
59Loss Rate
0Parameters
1Security Types
-0.414Sortino Ratio
674Tradeable Dates
2693Trades
0.417Treynor Ratio
41Win Rate
29.008Net Profit
12.72PSR
0.243Sharpe Ratio
0.051Alpha
-0.093Beta
9.923CAR
28.6Drawdown
53Loss Rate
0Parameters
1Security Types
0.322Sortino Ratio
674Tradeable Dates
2632Trades
-0.531Treynor Ratio
47Win Rate
99.04Net Profit
71.297PSR
0.999Sharpe Ratio
0.085Alpha
0.023Beta
15.971CAR
9.6Drawdown
30Loss Rate
0Parameters
1Security Types
1.184Sortino Ratio
1168Tradeable Dates
1033Trades
3.751Treynor Ratio
70Win Rate
100.335Net Profit
94.259PSR
1.996Sharpe Ratio
0.134Alpha
1.207Beta
52.61CAR
10.8Drawdown
33Loss Rate
0Parameters
1Security Types
2.653Sortino Ratio
0Tradeable Dates
2654Trades
0.25Treynor Ratio
67Win Rate
18.247Net Profit
57.612PSR
1.055Sharpe Ratio
0.129Alpha
0.14Beta
18.32CAR
6Drawdown
-0.37Loss Rate
0Parameters
1Security Types
0Tradeable Dates
781Trades
0.794Treynor Ratio
0.42Win Rate
-23.636Net Profit
0.009PSR
-2.142Sharpe Ratio
-0.11Alpha
-0.582Beta
-16.423CAR
25.8Drawdown
57Loss Rate
0Parameters
1Security Types
-2.896Sortino Ratio
0Tradeable Dates
6598Trades
0.288Treynor Ratio
43Win Rate
0Parameters
2Security Types
14Tradeable Dates
0Parameters
2Security Types
14Tradeable Dates
0Parameters
2Security Types
14Tradeable Dates
0Parameters
2Security Types
14Tradeable Dates
0Parameters
2Security Types
14Tradeable Dates
0Parameters
2Security Types
14Tradeable Dates
0Parameters
2Security Types
14Tradeable Dates
0Parameters
2Security Types
14Tradeable Dates
0Parameters
2Security Types
14Tradeable Dates
0Parameters
2Security Types
14Tradeable Dates
0Parameters
2Security Types
14Tradeable Dates
0Parameters
2Security Types
14Tradeable Dates
0Parameters
2Security Types
14Tradeable Dates
Louis left a comment in the discussion (Python) Libraries and directories
Hi Rodrigo
Louis left a comment in the discussion Algorithmic Trading Video Course #5
Hi Bounty909. Yes, we do require a credit card to limit a free account per user to avoid abuse of...
Louis left a comment in the discussion Copy logs / download logs
Hi J
Louis left a comment in the discussion Trading fractional shares with Alpaca
Hi Zachary! Sorry to inform that for Equities, set_holdings cannot support fractional shares yet.
Louis left a comment in the discussion Opening Range Breakout for Stocks in Play
Hi Amir! You might consider around 4-5mb of RAM per symbol scription is needed, so I'd say a L2-4...
Louis left a comment in the discussion New Algorithm Error
Hi Digitall
Louis submitted the research Portfolio Construction Using Topological Data Analysis
Abstract
This research presents a novel approach to portfolio construction by applying Topological Data Analysis (TDA) to the components of the SPY ETF. By employing techniques like the Mapper Algorithm, Principal Component Analysis (PCA), Uniform Manifold Approximation and Projection (UMAP), and Density-Based Spatial Clustering of Applications with Noise (DBSCAN), the methodology clusters SPY's top constituents. The goal is to minimize correlation risk by constructing a portfolio that is equally weighted across both giant and small clusters. This strategy aims to enhance diversification, reduce correlation with SPY, and mitigate drawdowns. TDA reveals hidden structures in high-dimensional data, aiding in comprehensive risk management by identifying less obvious correlations among securities. This strategy was run out of sample through the recent market volatility and reduced the drawdown relative to benchmark.
Louis submitted the research Optimizing a Gold-SPY Portfolio Using Hidden Markov Models for Market Downtime
Abstract
We explore a dynamic investment strategy using Hidden Markov Models (HMM) to optimize a portfolio of Micro-Gold Futures and SPY for minimizing market downside risk. By detecting market regimes through HMM, the strategy integrates drawdown-risk parity to enhance risk diversification. Backtesting from January 1, 2019, to December 31, 2024, demonstrates a Sharpe Ratio of 0.984, with a compound annual return of 48.3% and a maximum drawdown of 50.1%. The drawdown series of SPY informs HMM for market condition inference, complementing risk-parity optimization. This method balances risk contributions and incorporates state probabilities to align with investor expectations, aiming for improved risk management and potential returns.
Louis submitted the research Intraday Application of Hidden Markov Models
Abstract
This study explores a 3-component Hidden Markov Model (HMM) strategy to detect market regimes and generate buy signals for the top 10 market capitalization stocks. HMMs, effective in identifying unobservable market states, analyze 5-minute close price returns to anticipate market behavior. Large-cap stocks are chosen for their liquidity and market representation. Using a 5-minute bar timeframe, the strategy adapts to intraday fluctuations, capturing short-term opportunities. Implemented in QuantConnect, the strategy shows a Sharpe Ratio of 1.7, Information Ratio of 0.912, Compounding Annual Return of 36.237%, Alpha of 6.9%, and a maximum drawdown of 7.3%, highlighting its ability to identify and capitalize on market regime shifts.
Louis submitted the research Factor Sector Rotation with Kavout
Abstract
This micro-study examines a factor-driven sector rotation strategy using the Kavout Factor Bundle dataset to identify sector-specific opportunities. By combining factor scores with sector-level analysis, the strategy dynamically allocates portfolios based on sector-specific factor scores. It calculates these scores by summing and normalizing factor scores of stocks within each sector. Capital is allocated proportionally to these scores, ensuring diversification by distributing it equally among constituent stocks. The strategy undergoes monthly rebalancing, focusing on the top 50 US stocks by market capitalization to ensure liquidity and reliability. From March 2023 to August 2024, the strategy achieved a Sharpe ratio of 1.224 and a strong compounded annual return, demonstrating its effectiveness.
Louis submitted the research A Risk Parity Approach to Leveraged ETFs
Abstract
This micro-study investigates a risk parity strategy using leveraged ETFs to balance high returns with reduced risk. By constructing a portfolio of US Equities, Short Emerging Market Equities, Long-term Bonds, and Gold, we aim for equal risk contribution from each asset class. Utilizing variance as a risk metric, we apply Spinu's convex optimization for risk parity. The portfolio includes TQQQ, TMF, EDZ, and UGL ETFs. This approach seeks to minimize volatility while enhancing returns through leveraged ETFs, offering diversification and risk mitigation for consistent long-term gains.
Louis submitted the research Piotroski F-Score Investing
Abstract
The Piotroski F-Score is a tool developed by Joseph Piotroski to measure the financial strength of a company. It consists of 3 categories and 9 sub-scores, with a higher score indicating a stronger financial position. This score is commonly used to filter out undervalued stocks. In this study, the authors hypothesized that companies with higher F-scores would have higher stock prices and returns, as well as better resilience during market downturns. They compared the performance of a portfolio constructed using the F-Score filtering method to the SPY benchmark over a 3-year period. The results showed that the F-Score strategy outperformed the benchmark in terms of total return, compounded annual return, Sharpe Ratio, and information ratio. This suggests that the F-Score is a valuable tool for identifying undervalued stocks and implementing a successful investment strategy.
Louis submitted the research Prediction on Futures Contango
Abstract
This discussion focuses on predicting futures contango and investing with a mean-reversion strategy. Contango occurs when the spot prices of further-term contracts are higher than those of nearer-term contracts. The strategy aims to profit from predicting reversion in gold futures contracts expiring within 90 days. The strategy yielded a positive return with a 0.88 Sharpe Ratio over a three-year period. Many things could be done to improve the strategy including; a contango probability and size estimate, an early exit handler, improving the signal for price/contango prediction, and constructing a portfolio of many contracts.
Louis started the discussion USTUSD is not found
Hi
Louis started the discussion Historical options data in backtest
Hi All
Louis started the discussion Mean CVaR Portfolio Construction Model
Hi everyone
Louis started the discussion Multiple project optimization
I know it sounded a bit weird, but is there any ways to build different projects and create a...
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Louis left a comment in the discussion (Python) Libraries and directories
Hi Rodrigo
5 months ago