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Jet Pilot with a penchant for Algorithmic Trading (Python)

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.

60.36Net Profit

0PSR

0.229Sharpe Ratio

0.068Alpha

-0.151Beta

4.831CAR

9.7Drawdown

-0.16Loss Rate

0Parameters

0Security Types

1.435Sortino Ratio

2517Tradeable Dates

155Trades

-0.325Treynor Ratio

40.55Win Rate

78.813Net Profit

15.93PSR

0.684Sharpe Ratio

0.07Alpha

0.035Beta

8.321CAR

12.5Drawdown

19Loss Rate

10Parameters

1Security Types

0.331Sortino Ratio

1830Tradeable Dates

287Trades

2.109Treynor Ratio

81Win Rate

66.637Net Profit

9.744PSR

0.579Sharpe Ratio

0.062Alpha

0.035Beta

7.275CAR

18.5Drawdown

31Loss Rate

13Parameters

1Security Types

0.3214Sortino Ratio

1830Tradeable Dates

387Trades

1.886Treynor Ratio

69Win Rate

74.08Net Profit

38.387PSR

0.924Sharpe Ratio

0Alpha

0Beta

8.299CAR

17.4Drawdown

26Loss Rate

30Parameters

1Security Types

0.2048Sortino Ratio

0Tradeable Dates

661Trades

0Treynor Ratio

74Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Parameters

1Security Types

0Sortino Ratio

209Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

Mark left a comment in the discussion SPY Options Data Issue 2015-08-19

Hi Louis,

Mark started the discussion Requesting History for an Indicator built on Consolidated bars (WarmUp)

Hi all,

Mark started the discussion HELP: Standard Deviation Question, STD of Returns (Not Prices)

For each asset in my universe, I would like to calculate the STD of returns, over the last...

Mark started the discussion Rolling Window in SymbolData class with ensemble SMA Indicator

I am trying to implement a Rolling Window within the SymbolData class for an ensemble of SMA's.

60.36Net Profit

0PSR

0.229Sharpe Ratio

0.068Alpha

-0.151Beta

4.831CAR

9.7Drawdown

-0.16Loss Rate

0Parameters

0Security Types

1.435Sortino Ratio

2517Tradeable Dates

155Trades

-0.325Treynor Ratio

40.55Win Rate

78.813Net Profit

15.93PSR

0.684Sharpe Ratio

0.07Alpha

0.035Beta

8.321CAR

12.5Drawdown

19Loss Rate

10Parameters

1Security Types

0.331Sortino Ratio

1830Tradeable Dates

287Trades

2.109Treynor Ratio

81Win Rate

66.637Net Profit

9.744PSR

0.579Sharpe Ratio

0.062Alpha

0.035Beta

7.275CAR

18.5Drawdown

31Loss Rate

13Parameters

1Security Types

0.3214Sortino Ratio

1830Tradeable Dates

387Trades

1.886Treynor Ratio

69Win Rate

74.08Net Profit

38.387PSR

0.924Sharpe Ratio

0Alpha

0Beta

8.299CAR

17.4Drawdown

26Loss Rate

30Parameters

1Security Types

0.2048Sortino Ratio

0Tradeable Dates

661Trades

0Treynor Ratio

74Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Parameters

1Security Types

0Sortino Ratio

209Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

271.157Net Profit

5.851PSR

0.662Sharpe Ratio

0.081Alpha

-0.016Beta

8.748CAR

22.9Drawdown

25Loss Rate

3Parameters

1Security Types

0.2373Sortino Ratio

0Tradeable Dates

418Trades

-4.974Treynor Ratio

75Win Rate

267.126Net Profit

5.689PSR

0.658Sharpe Ratio

0.08Alpha

-0.016Beta

8.672CAR

23.1Drawdown

25Loss Rate

11Parameters

1Security Types

0.2261Sortino Ratio

0Tradeable Dates

449Trades

-5.003Treynor Ratio

75Win Rate

3Parameters

0Security Types

0Tradeable Dates

6Parameters

0Security Types

0Tradeable Dates

Mark left a comment in the discussion SPY Options Data Issue 2015-08-19

Hi @louis-szeto_1 ,

Mark left a comment in the discussion SPY Options Data Issue 2015-08-19

Hi Louis,

Mark started the discussion Requesting History for an Indicator built on Consolidated bars (WarmUp)

Hi all,

Mark started the discussion HELP: Standard Deviation Question, STD of Returns (Not Prices)

For each asset in my universe, I would like to calculate the STD of returns, over the last...

Mark started the discussion Rolling Window in SymbolData class with ensemble SMA Indicator

I am trying to implement a Rolling Window within the SymbolData class for an ensemble of SMA's.

Mark started the discussion Convert all to Base Currency with Interactive Brokers

Hi All,

Mark started the discussion Accounting for Deposits & Withdrawals in Backtests (and Live Trading)

Being able to build an algorithm and run a backtest using lean is fantastic!

Mark started the discussion SPY Options Data Issue 2015-08-19

Hi there,

Mark started the discussion OptionChainProvider IncludeWeeklys()

Hi There,

Mark left a comment in the discussion OptionChainProvider IncludeWeeklys()

Ahhh fantastic thanks Louis. I thought default was Monthly only…

Mark left a comment in the discussion SPY, Minute The issue starts from Apr 6th, 2010 09:30 AM; and continues until now

I found the same thing with SPY Put options on 2015-08-19… jumps from a few cents to $57.00, then...

Mark left a comment in the discussion Accounting for Deposits & Withdrawals in Backtests (and Live Trading)

I also note there is nothing in the Docs about Cashbook or AddAmount?

Mark left a comment in the discussion Accounting for Deposits & Withdrawals in Backtests (and Live Trading)

Thanks Varad!

Mark started the discussion Modifying Insight Duration within Bootcamp: Algorithm Framework

Hi There,

Mark started the discussion Futures HELP: Accessing UnderlyingSymbol for contracts held in your Portfolio?

Hi,

Mark started the discussion HELP: Scheduling Portfolio Construction within the AlgorithmFramework

Hi all,

Mark started the discussion Why is OnSchedule function firing on 2018-01-02 - the markets were closed and the symbol was not trading?

Hi All,

Mark started the discussion A Quantitative Approach to Tactical Asset Allocation: GTAA(5) with SimpleMovingAverage

GTAA consists of five global asset classes: US stocks, foreign stocks, bonds, real estate and...

Mark started the discussion Trouble with Implementing Margin us Insight Weighted Portfolio Construction

I am trying to implement Margin using the AlgorithmFramework, and in particular...

Mark started the discussion HELP doing Comparative analysis using Indicator values

Hi All,

Mark started the discussion HELP. Unexpected behaviour - EMA value assignment

1) if self.short_ma[3] == self.old_ema: 2) return 3) 4) self.old_ema =...

Mark started the discussion Accessing OLD Backtests?

Hi All,

Mark started the discussion Confusion around TotalTotalMarginUsed figures???

Hi All,

Mark started the discussion Lab Background Colour?

Help! My Lab background has changed from my original "Dark" setting to a...

Mark left a comment in the discussion SPY Options Data Issue 2015-08-19

Hi @louis-szeto_1 ,

2 years ago