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24832.566Net Profit

93.836PSR

1.562Sharpe Ratio

0.314Alpha

0.345Beta

48.312CAR

28Drawdown

-0.09Loss Rate

0Parameters

0Security Types

2.585Sortino Ratio

3523Tradeable Dates

3538Trades

1.001Treynor Ratio

0.51Win Rate

-72.865Net Profit

2.497PSR

-0.3Sharpe Ratio

-3.244Alpha

3.395Beta

-100CAR

75.2Drawdown

0Loss Rate

38Parameters

1Security Types

0Sortino Ratio

14Tradeable Dates

1Trades

-0.295Treynor Ratio

0Win Rate

282.052Net Profit

47.256PSR

1.1Sharpe Ratio

0.035Alpha

0.975Beta

23.605CAR

41.4Drawdown

-0.27Loss Rate

48Parameters

1Security Types

1.164Sortino Ratio

1593Tradeable Dates

304Trades

0.284Treynor Ratio

0.78Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

0Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Manoj left a comment in the discussion The In & Out Strategy - Continued from Quantopian

Peter Guenther I made minor changes to v8 and was able to improve the performance. Basically, I...

Manoj left a comment in the discussion Continuous Futures Support

Excellent feature addition, it has eliminated a lot of headache for me. I was able to delete...

Manoj left a comment in the discussion The In & Out Strategy - Continued from Quantopian

Stephen David Bennett Wondering if you saw my post above with Link to alternative data that I have...

Manoj left a comment in the discussion The In & Out Strategy - Continued from Quantopian

I love the v8 version but wondering how. the stock splits/dividends are handled here? My fear is...

24832.566Net Profit

93.836PSR

1.562Sharpe Ratio

0.314Alpha

0.345Beta

48.312CAR

28Drawdown

-0.09Loss Rate

0Parameters

0Security Types

2.585Sortino Ratio

3523Tradeable Dates

3538Trades

1.001Treynor Ratio

0.51Win Rate

-72.865Net Profit

2.497PSR

-0.3Sharpe Ratio

-3.244Alpha

3.395Beta

-100CAR

75.2Drawdown

0Loss Rate

38Parameters

1Security Types

0Sortino Ratio

14Tradeable Dates

1Trades

-0.295Treynor Ratio

0Win Rate

282.052Net Profit

47.256PSR

1.1Sharpe Ratio

0.035Alpha

0.975Beta

23.605CAR

41.4Drawdown

-0.27Loss Rate

48Parameters

1Security Types

1.164Sortino Ratio

1593Tradeable Dates

304Trades

0.284Treynor Ratio

0.78Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

0Parameters

1Security Types

0Sortino Ratio

0Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Manoj left a comment in the discussion The In & Out Strategy - Continued from Quantopian

I tweaked some of the parameters (suc as smoothing period) and in/out comparison logic and was able...

Manoj left a comment in the discussion The In & Out Strategy - Continued from Quantopian

Peter Guenther I made minor changes to v8 and was able to improve the performance. Basically, I...

Manoj left a comment in the discussion Continuous Futures Support

Excellent feature addition, it has eliminated a lot of headache for me. I was able to delete...

Manoj left a comment in the discussion The In & Out Strategy - Continued from Quantopian

Stephen David Bennett Wondering if you saw my post above with Link to alternative data that I have...

Manoj left a comment in the discussion The In & Out Strategy - Continued from Quantopian

I love the v8 version but wondering how. the stock splits/dividends are handled here? My fear is...

Manoj left a comment in the discussion The In & Out Strategy - Continued from Quantopian

Another option to test it for period before 2008 is to use Futures and Mutual Fund prices. Here is...

Manoj started the discussion Run multiple backtests to decide the best trading strategy

I have 2 or 3 different strategies that work in different market conditions. For example: One of...

Manoj started the discussion Tax efficiency of an algorithm

I wrote some code to estimate and compare the tax efficiency of an algorithm. See the attached...

Manoj started the discussion Indicators - impact of splits and dividends, need for warm-up

If I am using a standard indicator provided by QC, do I need to re-warm up them:

Manoj started the discussion Use of StandardDeviationExecutionModel independent of other modules

I am wondering if there is ax way to use the StandardDeviationExecutionModel without requiring...

Manoj started the discussion Formatting problems with self.Notify.Email

When I send myself an email using sell.Notify.Email, the entire email appears as a single line...

Manoj started the discussion Meaning of leverage in AddFuture

Wondering what is the meaning of parameter leverage in AddFuture? I found following code in the...

Manoj started the discussion Comprehensive support for Futures data

I noticed that Quantconnect supports a limited set of futures products particularly related to...

Manoj started the discussion Custom Data source other than Dropbox

I was wondering how to implement custom data from sources other than the dropbox. All the examples...

Manoj started the discussion Error encountered in live testing

My algorithm is working fine while I was backtesting it but it stopped working when I went live...

Manoj started the discussion Fama French Model

My algorith is based on fama french 3 factor model. It works well in back testing but while going...

Manoj started the discussion How to initialize average true range indicator

average true range (ATR) needs high, low, close. I cannot use warmup method I believe as my...

Manoj started the discussion Low beta high alpha universe

I noticed that quant connect already has capabilities to calculate alpha, beta, sharpe ratio,...

Manoj left a comment in the discussion The In & Out Strategy - Continued from Quantopian

I tweaked some of the parameters (suc as smoothing period) and in/out comparison logic and was able...

2 years ago