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My background is in engineering but I have a passion for finance and coding. I use engineering principles to apply rigorous criteria to all my algorithms in order to minimize bias. I have been working on trading algorithms for 4 years now, live trading for the past 2 years.
My goal is not to get rich quick, it's to beat the S&P500 on a risk adjusted basis using sound investment strategies that I can use in my own retirement accounts (Long only, no leverage) keeping drawdowns below 25% even though bear markets.

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.

4.609Net Profit

40.423PSR

0.66Sharpe Ratio

-0.294Alpha

0.761Beta

11.835CAR

12.3Drawdown

40Loss Rate

265Parameters

1Security Types

0.0487Sortino Ratio

104Tradeable Dates

345Trades

0.185Treynor Ratio

60Win Rate

243.464Net Profit

1.395Sharpe Ratio

0.077Alpha

2.106Beta

12.266CAR

13Drawdown

40Loss Rate

1Security Types

0.1290079921063Sortino Ratio

0Tradeable Dates

2381Trades

0.057Treynor Ratio

60Win Rate

218.398Net Profit

1.045Sharpe Ratio

0.014Alpha

5.015Beta

11.471CAR

20.5Drawdown

39Loss Rate

1Security Types

0.28134539791252Sortino Ratio

0Tradeable Dates

701Trades

0.023Treynor Ratio

61Win Rate

280.311Net Profit

0.979Sharpe Ratio

0.043Alpha

4.61Beta

13.344CAR

24.7Drawdown

36Loss Rate

1Security Types

0.028597079430338Sortino Ratio

0Tradeable Dates

730Trades

0.029Treynor Ratio

64Win Rate

243.464Net Profit

1.395Sharpe Ratio

0.077Alpha

2.106Beta

12.266CAR

13Drawdown

40Loss Rate

1Security Types

0.1290079921063Sortino Ratio

0Tradeable Dates

2381Trades

0.057Treynor Ratio

60Win Rate

LukeI started the discussion IB starting to force 2FA?

I received this email from IB, anyone know if this will impact live trading on QC?

LukeI left a comment in the discussion Running multiple algorithms on single account

It's nothing special really, it just takes the insights that dictate each allocation from each...

LukeI started the discussion How to track separate alphas returns in a live algorithm independent of holdings?

Hello,

LukeI left a comment in the discussion Has anyone made real money yet?

Please don't think it's even remotely possible to achive 3-5% per day reliably under any...

4.609Net Profit

40.423PSR

0.66Sharpe Ratio

-0.294Alpha

0.761Beta

11.835CAR

12.3Drawdown

40Loss Rate

265Parameters

1Security Types

0.0487Sortino Ratio

104Tradeable Dates

345Trades

0.185Treynor Ratio

60Win Rate

243.464Net Profit

1.395Sharpe Ratio

0.077Alpha

2.106Beta

12.266CAR

13Drawdown

40Loss Rate

1Security Types

0.1290079921063Sortino Ratio

0Tradeable Dates

2381Trades

0.057Treynor Ratio

60Win Rate

218.398Net Profit

1.045Sharpe Ratio

0.014Alpha

5.015Beta

11.471CAR

20.5Drawdown

39Loss Rate

1Security Types

0.28134539791252Sortino Ratio

0Tradeable Dates

701Trades

0.023Treynor Ratio

61Win Rate

280.311Net Profit

0.979Sharpe Ratio

0.043Alpha

4.61Beta

13.344CAR

24.7Drawdown

36Loss Rate

1Security Types

0.028597079430338Sortino Ratio

0Tradeable Dates

730Trades

0.029Treynor Ratio

64Win Rate

243.464Net Profit

1.395Sharpe Ratio

0.077Alpha

2.106Beta

12.266CAR

13Drawdown

40Loss Rate

1Security Types

0.1290079921063Sortino Ratio

0Tradeable Dates

2381Trades

0.057Treynor Ratio

60Win Rate

330.54Net Profit

1.079Sharpe Ratio

0.16Alpha

-0.705Beta

14.67CAR

18Drawdown

43Loss Rate

1Security Types

0.12157299550985Sortino Ratio

0Tradeable Dates

2495Trades

-0.207Treynor Ratio

57Win Rate

190.876Net Profit

1.34Sharpe Ratio

0.063Alpha

2.004Beta

10.53CAR

17.1Drawdown

41Loss Rate

1Security Types

0.12342144442021Sortino Ratio

0Tradeable Dates

1557Trades

0.051Treynor Ratio

59Win Rate

192.986Net Profit

1.141Sharpe Ratio

0.027Alpha

3.893Beta

10.605CAR

24.4Drawdown

40Loss Rate

1Security Types

0.077884628341441Sortino Ratio

0Tradeable Dates

1829Trades

0.027Treynor Ratio

60Win Rate

214.873Net Profit

1.268Sharpe Ratio

0.07Alpha

2.07Beta

11.355CAR

17.8Drawdown

40Loss Rate

1Security Types

0.092842040123672Sortino Ratio

0Tradeable Dates

1756Trades

0.054Treynor Ratio

60Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

0Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

238.641Net Profit

0.797Sharpe Ratio

0.08Alpha

0.006Beta

10.573CAR

16.3Drawdown

45Loss Rate

1Security Types

0.10411371025183Sortino Ratio

2800Tradeable Dates

1693Trades

12.795Treynor Ratio

55Win Rate

5.397Net Profit

12.762Sharpe Ratio

0.474Alpha

0.002Beta

85.691CAR

0.5Drawdown

11Loss Rate

1Security Types

0.64690960612445Sortino Ratio

22Tradeable Dates

255Trades

255.228Treynor Ratio

89Win Rate

1.331Net Profit

22.43Sharpe Ratio

0.734Alpha

0.127Beta

181.188CAR

0.1Drawdown

33Loss Rate

1Security Types

0Sortino Ratio

3Tradeable Dates

12Trades

6.548Treynor Ratio

67Win Rate

1.011Net Profit

16.803Sharpe Ratio

0.404Alpha

0.293Beta

119.637CAR

0.8Drawdown

100Loss Rate

1Security Types

0Sortino Ratio

3Tradeable Dates

4Trades

2.168Treynor Ratio

0Win Rate

0Tradeable Dates

LukeI started the discussion IB starting to force 2FA?

I received this email from IB, anyone know if this will impact live trading on QC?

LukeI left a comment in the discussion Continuous Futures Support

Can anyone help a noob with creating an algorithm to purchase VIX continuous futures? When I tried...

LukeI left a comment in the discussion Running multiple algorithms on single account

It's nothing special really, it just takes the insights that dictate each allocation from each...

LukeI started the discussion How to track separate alphas returns in a live algorithm independent of holdings?

Hello,

LukeI left a comment in the discussion Has anyone made real money yet?

Please don't think it's even remotely possible to achive 3-5% per day reliably under any...

LukeI left a comment in the discussion Live Trading for Multiple Algorithms

This feature already exists IMO. You can have multiple alphas in a framework algorithm that all...

LukeI started the discussion How to tell if live/paper trading results match historical performance?

As the title says, I'm paper trading my strategy as a way to see if the performance in the backtest...

LukeI left a comment in the discussion Passing variables through Algorithm Framework

Once you "return insights" your algorithm is done with the update function and it doesn't go on to...

LukeI left a comment in the discussion Algorithm Framework Module - Portfolio Construction Model With Custom Optimizer

Thanks for this excellent peice of code, I'm very interested in adopting it.

LukeI started the discussion Bug or intended? Universe selection doesn't occur until one trading day has passed.

My understanding is that universe selection occurs sometime after midnight on trading days. If...

LukeI started the discussion Need help with indicator on 15m consolidated timeframe

Trying to use a 20 period ATR on 15m tradebars, keep getting the error:

LukeI started the discussion [Python] How to get portfolio and stock data into classes that are in other files?

I'm currently porting over my algorithm from Quantopian and having some trouble. I use a...

LukeI started the discussion Dataframe .mean() problem

prices = self.data.History(self.data.var["stocks"], 10, Resolution.Minute) prices =...

LukeI started the discussion [Python] Question about portfolio and universes

Question 1: is there an easier way to get a list of stocks that I currently own than this:

LukeI started the discussion How to filter universe on split adjusted prices?

In my coarse universe I'm looking at all stocks within a certain price range, but when I buy...

LukeI started the discussion Paper Trading Log bug?

2017-09-27 15:55:00 :New Order Event: Time: 9/27/2017 3:55:00 PM OrderID: 50 Symbol: NAK Status:...

LukeI started the discussion Does data consolidation save memory? Data consolidation on Universe selection?

I am trying to optimize my data usage so I can get as long of a backtest as possible with as many...

LukeI started the discussion How do I get a percentile of dollarvolume universe?

I'm looking to get a result similar to quantopian

LukeI started the discussion Runtime Error: Number overflow.

So I cloned the "RSI with Martingale Position Sizing" algorithm from the university, stripped out...

LukeI started the discussion Can't get OnBalanceVolume indicator working

I've tried several times to get the OnBalanceVolume indicator working, but it only shows 0's across...

LukeI left a comment in the discussion Continuous Futures Support

Can anyone help a noob with creating an algorithm to purchase VIX continuous futures? When I tried...

2 years ago