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30.02Net Profit

38.655PSR

0.847Sharpe Ratio

-0.002Alpha

0.985Beta

18.782CAR

33.4Drawdown

0Loss Rate

5Parameters

2Security Types

0Sortino Ratio

557Tradeable Dates

1Trades

0.237Treynor Ratio

0Win Rate

61Parameters

0Security Types

1859Tradeable Dates

-20.95Net Profit

10.159PSR

-0.909Sharpe Ratio

-0.589Alpha

-0.327Beta

-57.618CAR

33.5Drawdown

0Loss Rate

38Parameters

2Security Types

0Sortino Ratio

100Tradeable Dates

1Trades

1.356Treynor Ratio

0Win Rate

132.653Net Profit

0.665PSR

0.393Sharpe Ratio

0.081Alpha

-0.127Beta

6.619CAR

54.8Drawdown

0Loss Rate

19Parameters

2Security Types

0Sortino Ratio

4809Tradeable Dates

1Trades

-0.568Treynor Ratio

0Win Rate

3Parameters

0Security Types

2557Tradeable Dates

pangyuteng left a comment in the discussion Problem pulling CBOE Vix data on live trading

Hello Shile Wen Thanks for confirming.

pangyuteng started the discussion Option Roulette

For your entertainment, I am sharing my first untradable option trading algo - Option Roulette.

pangyuteng started the discussion Front month implied volatility

Sharing my attempt of comupting SPY's spot implied volatility. The implementation is not too far...

pangyuteng left a comment in the discussion What is a good soure for risk free rate (working in live)?

One more try. Straight from the data source with the use of PythonData. There is always a chance...

30.02Net Profit

38.655PSR

0.847Sharpe Ratio

-0.002Alpha

0.985Beta

18.782CAR

33.4Drawdown

0Loss Rate

5Parameters

2Security Types

0Sortino Ratio

557Tradeable Dates

1Trades

0.237Treynor Ratio

0Win Rate

61Parameters

0Security Types

1859Tradeable Dates

-20.95Net Profit

10.159PSR

-0.909Sharpe Ratio

-0.589Alpha

-0.327Beta

-57.618CAR

33.5Drawdown

0Loss Rate

38Parameters

2Security Types

0Sortino Ratio

100Tradeable Dates

1Trades

1.356Treynor Ratio

0Win Rate

132.653Net Profit

0.665PSR

0.393Sharpe Ratio

0.081Alpha

-0.127Beta

6.619CAR

54.8Drawdown

0Loss Rate

19Parameters

2Security Types

0Sortino Ratio

4809Tradeable Dates

1Trades

-0.568Treynor Ratio

0Win Rate

3Parameters

0Security Types

2557Tradeable Dates

140.996Net Profit

29.495PSR

0.864Sharpe Ratio

0.059Alpha

-0.021Beta

6.886CAR

16.4Drawdown

17Loss Rate

0Parameters

1Security Types

0.8935Sortino Ratio

3322Tradeable Dates

782Trades

-2.653Treynor Ratio

83Win Rate

17Parameters

0Security Types

22Tradeable Dates

70.372Net Profit

41.185PSR

0.9Sharpe Ratio

0Alpha

0.925Beta

10.88CAR

18.2Drawdown

0Loss Rate

1Parameters

1Security Types

0Sortino Ratio

1297Tradeable Dates

1Trades

0.12Treynor Ratio

0Win Rate

246.172Net Profit

34.038PSR

0.867Sharpe Ratio

0.022Alpha

0.952Beta

16.35CAR

17.8Drawdown

43Loss Rate

43Parameters

2Security Types

0.113Sortino Ratio

2994Tradeable Dates

1622Trades

0.144Treynor Ratio

57Win Rate

100.225Net Profit

3.6PSR

0.393Sharpe Ratio

-0.087Alpha

1.722Beta

8.835CAR

65.5Drawdown

14Loss Rate

39Parameters

2Security Types

0.0105Sortino Ratio

2993Tradeable Dates

1442Trades

0.07Treynor Ratio

86Win Rate

25.557Net Profit

79.908PSR

1.795Sharpe Ratio

0.223Alpha

-0.116Beta

26.199CAR

6.8Drawdown

25Loss Rate

44Parameters

2Security Types

0Sortino Ratio

357Tradeable Dates

10Trades

-1.695Treynor Ratio

75Win Rate

pangyuteng left a comment in the discussion Alpaca Brokerage Removed

Just signed into Alpaca's slack, looks like there is no upddate yet. I had to liquidate my...

pangyuteng left a comment in the discussion Problem pulling CBOE Vix data on live trading

Hello Shile Wen Thanks for confirming.

pangyuteng started the discussion Option Roulette

For your entertainment, I am sharing my first untradable option trading algo - Option Roulette.

pangyuteng started the discussion Front month implied volatility

Sharing my attempt of comupting SPY's spot implied volatility. The implementation is not too far...

pangyuteng left a comment in the discussion What is a good soure for risk free rate (working in live)?

One more try. Straight from the data source with the use of PythonData. There is always a chance...

pangyuteng left a comment in the discussion What is a good soure for risk free rate (working in live)?

One way is through Quandl. Not the prettiest, but it works!

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

Very nice! I couldn't help myself, I had to add TVIX (this used to be x3, but now it is just x2...

pangyuteng left a comment in the discussion Ray Dalio's All Weather Strategy

I ran the backtest again - just to see how this strategy is holding up due to the on going global...

pangyuteng left a comment in the discussion Alpaca Brokerage Removed

Just signed into Alpaca's slack, looks like there is no upddate yet. I had to liquidate my...

3 years ago