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-4.046Net Profit

0.967PSR

0.047Sharpe Ratio

-0.034Alpha

0.363Beta

-0.981CAR

40.3Drawdown

37Loss Rate

18Parameters

1Security Types

-0.0039Sortino Ratio

1057Tradeable Dates

185Trades

0.022Treynor Ratio

63Win Rate

30.163Net Profit

3.046PSR

0.311Sharpe Ratio

0.036Alpha

0.739Beta

5.411CAR

45.7Drawdown

-0.75Loss Rate

11Parameters

0Security Types

0.387Sortino Ratio

1259Tradeable Dates

651Trades

0.069Treynor Ratio

0.61Win Rate

71.735Net Profit

11.418PSR

0.578Sharpe Ratio

0.076Alpha

0.725Beta

11.416CAR

39.1Drawdown

-0.62Loss Rate

11Parameters

0Security Types

0.836Sortino Ratio

1259Tradeable Dates

830Trades

0.125Treynor Ratio

0.5Win Rate

34.1Net Profit

3.647PSR

0.343Sharpe Ratio

0.039Alpha

0.728Beta

6.041CAR

45.5Drawdown

-0.5Loss Rate

14Parameters

0Security Types

0.447Sortino Ratio

1259Tradeable Dates

794Trades

0.075Treynor Ratio

0.54Win Rate

79.127Net Profit

14.053PSR

0.629Sharpe Ratio

0.082Alpha

0.695Beta

12.358CAR

37.2Drawdown

-0.81Loss Rate

11Parameters

0Security Types

0.954Sortino Ratio

1259Tradeable Dates

661Trades

0.139Treynor Ratio

0.59Win Rate

mark left a comment in the discussion Shorting Volatility with SVXY simple example

Ok thanks. I'll update my other algos with that line.

mark started the discussion Error with older Beta Factors in Stock from the strategy library

Hello, I was going through the strategy library and came across the interesting Beta Factor in...

mark started the discussion Shorting Volatility with SVXY simple example

Hi all, I put this together earlier in the year. The concept is to use the SVXY short volatility...

mark left a comment in the discussion Using Levered ETFs in IRA - 10 years - 24% CAGR, 1.56 Sharpe

Thanks Derek, I didn't know about the indicator extentions. I'll check out the VIX thread too.

-4.046Net Profit

0.967PSR

0.047Sharpe Ratio

-0.034Alpha

0.363Beta

-0.981CAR

40.3Drawdown

37Loss Rate

18Parameters

1Security Types

-0.0039Sortino Ratio

1057Tradeable Dates

185Trades

0.022Treynor Ratio

63Win Rate

30.163Net Profit

3.046PSR

0.311Sharpe Ratio

0.036Alpha

0.739Beta

5.411CAR

45.7Drawdown

-0.75Loss Rate

11Parameters

0Security Types

0.387Sortino Ratio

1259Tradeable Dates

651Trades

0.069Treynor Ratio

0.61Win Rate

71.735Net Profit

11.418PSR

0.578Sharpe Ratio

0.076Alpha

0.725Beta

11.416CAR

39.1Drawdown

-0.62Loss Rate

11Parameters

0Security Types

0.836Sortino Ratio

1259Tradeable Dates

830Trades

0.125Treynor Ratio

0.5Win Rate

34.1Net Profit

3.647PSR

0.343Sharpe Ratio

0.039Alpha

0.728Beta

6.041CAR

45.5Drawdown

-0.5Loss Rate

14Parameters

0Security Types

0.447Sortino Ratio

1259Tradeable Dates

794Trades

0.075Treynor Ratio

0.54Win Rate

79.127Net Profit

14.053PSR

0.629Sharpe Ratio

0.082Alpha

0.695Beta

12.358CAR

37.2Drawdown

-0.81Loss Rate

11Parameters

0Security Types

0.954Sortino Ratio

1259Tradeable Dates

661Trades

0.139Treynor Ratio

0.59Win Rate

286.734Net Profit

39.717PSR

0.986Sharpe Ratio

0.062Alpha

0.881Beta

20.386CAR

36.4Drawdown

-0.52Loss Rate

14Parameters

1Security Types

1.454Sortino Ratio

1835Tradeable Dates

1217Trades

0.17Treynor Ratio

0.65Win Rate

248.918Net Profit

30.465PSR

0.907Sharpe Ratio

0.055Alpha

0.827Beta

18.698CAR

30.1Drawdown

-0.54Loss Rate

11Parameters

1Security Types

1.475Sortino Ratio

1835Tradeable Dates

962Trades

0.168Treynor Ratio

0.78Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

14Parameters

2Security Types

0Sortino Ratio

2660Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

5Parameters

1Security Types

0Sortino Ratio

0Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

15Parameters

1Security Types

0Sortino Ratio

0Tradeable Dates

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

14Parameters

2Security Types

0Sortino Ratio

2660Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

14Parameters

2Security Types

0Sortino Ratio

2660Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

14Parameters

2Security Types

0Sortino Ratio

2660Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

14Parameters

2Security Types

0Sortino Ratio

2660Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

14Parameters

2Security Types

0Sortino Ratio

2660Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

14Parameters

2Security Types

0Sortino Ratio

2660Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

14Parameters

2Security Types

0Sortino Ratio

2660Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

14Parameters

2Security Types

0Sortino Ratio

2660Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

10Parameters

2Security Types

0Sortino Ratio

2660Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

10Parameters

1Security Types

0Sortino Ratio

1834Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

10Parameters

1Security Types

0Sortino Ratio

1834Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

10Parameters

1Security Types

0Sortino Ratio

1834Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

10Parameters

1Security Types

0Sortino Ratio

1834Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

111.465Net Profit

3.606PSR

0.463Sharpe Ratio

-0.008Alpha

1.045Beta

10.823CAR

36.1Drawdown

31Loss Rate

10Parameters

1Security Types

0.1228Sortino Ratio

1834Tradeable Dates

787Trades

0.094Treynor Ratio

69Win Rate

99.289Net Profit

3.357PSR

0.45Sharpe Ratio

-0.014Alpha

1.014Beta

9.925CAR

34.5Drawdown

-0.81Loss Rate

10Parameters

1Security Types

0.533Sortino Ratio

1834Tradeable Dates

989Trades

0.087Treynor Ratio

0.51Win Rate

124.352Net Profit

4.91PSR

0.511Sharpe Ratio

-0.003Alpha

1.025Beta

11.726CAR

35.7Drawdown

-0.79Loss Rate

10Parameters

1Security Types

0.638Sortino Ratio

1834Tradeable Dates

1063Trades

0.098Treynor Ratio

0.57Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

10Parameters

1Security Types

0Sortino Ratio

1834Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

10Parameters

1Security Types

0Sortino Ratio

1834Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

10Parameters

1Security Types

0Sortino Ratio

1834Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

10Parameters

1Security Types

0Sortino Ratio

1834Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

mark left a comment in the discussion Simple stock bond strategy hedged using VIX options

I agree with all of that. Using spy puts and vx futures is where I would look first.

mark left a comment in the discussion Shorting Volatility with SVXY simple example

Ok thanks. I'll update my other algos with that line.

mark started the discussion Error with older Beta Factors in Stock from the strategy library

Hello, I was going through the strategy library and came across the interesting Beta Factor in...

mark started the discussion Shorting Volatility with SVXY simple example

Hi all, I put this together earlier in the year. The concept is to use the SVXY short volatility...

mark left a comment in the discussion Using Levered ETFs in IRA - 10 years - 24% CAGR, 1.56 Sharpe

Thanks Derek, I didn't know about the indicator extentions. I'll check out the VIX thread too.

mark started the discussion Help me improve this retiree friendly low volatility stock algo with +93% PSR

I created this algo for my older relatives' IRA accounts. They want low volatility, low drawdown,...

mark left a comment in the discussion Email Notifications with multiple email addresses?

Great thanks Derek.

mark left a comment in the discussion Reproducing In-Out with ROC v1.9

Thanks ekz for your options implementation. I've traded options for years manually, and can provide...

mark left a comment in the discussion Reproducing In-Out with ROC v1.9

With the short put spread and long call method, your on both sides, so the IV premium isn't that...

mark started the discussion Email Notifications with multiple email addresses?

I have my email notifications working fine in the Live paper environment, but I wanted to add a...

mark started the discussion Need help putting a stock list into a single debug line for email and text output

I have a monthly rebalance algo, and it rebalances 10 stocks each month. I want to separate this...

mark started the discussion How to implement a ratio price, and put that into an indicator

Need some indicator help.

mark started the discussion Is this a Data Issue? Futures contract value goes to zero and issues margin call before expiration

Looking at orders, the value of /ZB and /ZN contracts hit zero on 12/22/2016. But when I check the...

mark started the discussion Help defining a futures chain for different SetHolding weighting

This is my first futures attempt, I want this to be simple monthly rebalancing with NQ and VX. I...

mark started the discussion Dividend Yield on Portfolio metrics?

When working on dividend/income generating strategies, it would be great to get some metrics for...

mark started the discussion Log shows RSI values at zero sometimes

Hi there,

mark started the discussion Any plans to update the strategy library with new class and model structure?

Being new to coding I went through the basics in bootcamp about 6 months ago, then I made a bunch...

mark started the discussion Should I use Rebalace or a Consolidator?

I'm new to coding, so hence this question: I have strategies that uses a weekly consolidator to...

mark started the discussion NameError help with monthly rebalance

I'm working my first monthly rebalance strategy and I added a regime change condition to rebalance...

mark started the discussion Help with monthly rebalance " 'int' object is not iterable" error

This is my first attempt at monthly rebalancing, so I'm missing something simple to get it to work....

mark started the discussion Help with consolidated data for SMA

Hi all. I've been trying to get the SMA to use a weekly timeframe and am struggling. I figured out...

mark started the discussion More help with adding to current position with Set.Holdings

A few others helped me get a method of using a position counter to add to a current position with...

mark started the discussion Being able to add to a current position

Hi everyone, I'm looking for a simple way to code adding to a open position. I have an entry...

mark started the discussion Anyone have Connors RSI?

Does anyone have the "Connors RSI" calculation already coded up?

mark started the discussion SPY Leveraged Pullback beginner help

I'm new here and to Python in general, and am trying to port my scripts from thinkorswim into...

mark left a comment in the discussion Simple stock bond strategy hedged using VIX options

I agree with all of that. Using spy puts and vx futures is where I would look first.

2 years ago