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33730.548Net Profit

88.835PSR

1.937Sharpe Ratio

0.893Alpha

0.893Beta

70.968CAR

49.9Drawdown

-10.22Loss Rate

33Parameters

1Security Types

2.084Sortino Ratio

2734Tradeable Dates

99Trades

5.208Treynor Ratio

23.24Win Rate

33Parameters

0Security Types

717Tradeable Dates

39339.972Net Profit

84.024PSR

1.713Sharpe Ratio

0.735Alpha

0.165Beta

59.174CAR

49.9Drawdown

30Loss Rate

39Parameters

1Security Types

1.1619Sortino Ratio

3238Tradeable Dates

133Trades

4.578Treynor Ratio

70Win Rate

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

Goldie, in that last run example you have SHY commented out.

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

Yes, Elsid, entered QQQ on 12/18.

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

Nice work Peter! This new version especially excels with 3X funds. I see 71% YoY return using...

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

Strategy when back into equities today (12/18). Prior trade was 10/6.

33730.548Net Profit

88.835PSR

1.937Sharpe Ratio

0.893Alpha

0.893Beta

70.968CAR

49.9Drawdown

-10.22Loss Rate

33Parameters

1Security Types

2.084Sortino Ratio

2734Tradeable Dates

99Trades

5.208Treynor Ratio

23.24Win Rate

33Parameters

0Security Types

717Tradeable Dates

39339.972Net Profit

84.024PSR

1.713Sharpe Ratio

0.735Alpha

0.165Beta

59.174CAR

49.9Drawdown

30Loss Rate

39Parameters

1Security Types

1.1619Sortino Ratio

3238Tradeable Dates

133Trades

4.578Treynor Ratio

70Win Rate

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

Thunder Chicken,

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

Goldie, in that last run example you have SHY commented out.

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

Yes, Elsid, entered QQQ on 12/18.

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

Nice work Peter! This new version especially excels with 3X funds. I see 71% YoY return using...

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

Strategy when back into equities today (12/18). Prior trade was 10/6.

Nathan left a comment in the discussion Dual Momentum with Out Days

Getting out of the Market early is more of a conservative move rather than aggressive such as going...

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

Thunder Chicken,

3 years ago