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Biography

Mid- to Low-frequency strategies

Activity on QuantConnect

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.


Public Backtests (2)

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Pensive Sky Blue Pigeon

55.799Net Profit

54.292PSR

1.042Sharpe Ratio

-0.001Alpha

0.497Beta

6.718CAR

10.1Drawdown

0Loss Rate

16Parameters

1Security Types

0Sortino Ratio

1717Tradeable Dates

1549Trades

0.134Treynor Ratio

100Win Rate

Pensive Orange Mosquito

437.239Net Profit

0.85Sharpe Ratio

0.409Alpha

-8.694Beta

21.653CAR

36.8Drawdown

18Loss Rate

9Parameters

1Security Types

0.3292Sortino Ratio

2155Tradeable Dates

2587Trades

-0.027Treynor Ratio

82Win Rate


Community

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pfchang started the discussion Can QuantConnect re-calculate and/or send signals regularly?

For those of us who are interested in 'gray box' trading (calculate quant signal, execute...

5 years ago

pfchang started the discussion Is there a way to retrieve the entire list from a RollingWindow object?

I don't want to do this by loop every time, but when I look at the Git repository it seems...

5 years ago

pfchang started the discussion Adding both equity and option

Suppose I want to trade option, but my signal is calculated using the underlying equity data....

5 years ago

pfchang started the discussion Option strategy utilities modules?

Does anyone know if something like this has already been done and shared by someone? I am thinking...

5 years ago

pfchang started the discussion Indicator Value: data type

Does the Value member in an indicator class have to be a double? Can I override it with an array...

5 years ago

Pensive Sky Blue Pigeon

55.799Net Profit

54.292PSR

1.042Sharpe Ratio

-0.001Alpha

0.497Beta

6.718CAR

10.1Drawdown

0Loss Rate

16Parameters

1Security Types

0Sortino Ratio

1717Tradeable Dates

1549Trades

0.134Treynor Ratio

100Win Rate

Pensive Orange Mosquito

437.239Net Profit

0.85Sharpe Ratio

0.409Alpha

-8.694Beta

21.653CAR

36.8Drawdown

18Loss Rate

9Parameters

1Security Types

0.3292Sortino Ratio

2155Tradeable Dates

2587Trades

-0.027Treynor Ratio

82Win Rate

pfchang started the discussion Can QuantConnect re-calculate and/or send signals regularly?

For those of us who are interested in 'gray box' trading (calculate quant signal, execute...

5 years ago

pfchang started the discussion Is there a way to retrieve the entire list from a RollingWindow object?

I don't want to do this by loop every time, but when I look at the Git repository it seems...

5 years ago

pfchang started the discussion Adding both equity and option

Suppose I want to trade option, but my signal is calculated using the underlying equity data....

5 years ago

pfchang started the discussion Option strategy utilities modules?

Does anyone know if something like this has already been done and shared by someone? I am thinking...

5 years ago

pfchang started the discussion Indicator Value: data type

Does the Value member in an indicator class have to be a double? Can I override it with an array...

5 years ago

pfchang started the discussion "Runtime Error: Cannot convert null to 'bool'......"?

Around three months ago, all my projects that used to be working fine suddenly start throwing the...

5 years ago

pfchang started the discussion Slow/truncated backtest when non-price data is used

I have noticed that when I include things like CBOE and USEnergy data, e.g.

5 years ago

pfchang started the discussion Exiting a portion of existing holding?

Hi I'll like to know if there is a simple way to exit a portion of existing holding? e,g, if...

5 years ago

pfchang left a comment in the discussion Slow/truncated backtest when non-price data is used

Yes for example, there is a huge difference in calc time depending on whether the commented out...

5 years ago

pfchang left a comment in the discussion Is there a way to retrieve the entire list from a RollingWindow object?

Hi Link thank you. What I am trying to achieve is that whenever new data comes in, I would like to...

5 years ago