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0.746Net Profit

44.339PSR

0.864Sharpe Ratio

0.703Alpha

1.559Beta

9.445CAR

26.2Drawdown

-0.06Loss Rate

7Parameters

0Security Types

0.074Sortino Ratio

25Tradeable Dates

3Trades

0.674Treynor Ratio

0Win Rate

62.087Net Profit

42.439PSR

0.963Sharpe Ratio

0.053Alpha

0.442Beta

14.048CAR

13.4Drawdown

-4.24Loss Rate

7Parameters

0Security Types

1.173Sortino Ratio

1141Tradeable Dates

24Trades

0.265Treynor Ratio

9.84Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

7Parameters

0Security Types

-0.216Sortino Ratio

26Tradeable Dates

4Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

7Parameters

0Security Types

-0.216Sortino Ratio

26Tradeable Dates

4Trades

0Treynor Ratio

0Win Rate

0.06Net Profit

0PSR

3.15Sharpe Ratio

20.545Alpha

55.082Beta

6.104CAR

14.9Drawdown

-14.86Loss Rate

7Parameters

0Security Types

7.9228162514264E+28Sortino Ratio

4Tradeable Dates

7Trades

0.147Treynor Ratio

8.77Win Rate

Ritaelyn started the discussion ZB Futures has bad trade data on 12/22/2016

ZB futures are priced at $0 on 12/22/2016. This is really problematic as buy and hold on any sort...

Ritaelyn left a comment in the discussion ZB Futures has bad trade data on 12/22/2016

Here is a buy&hold backtest rolling /ZB contracts. It's buying enough contracts with cash up to...

Ritaelyn left a comment in the discussion Shipped: L1 Equity Quote Data + Instant Universe Selection

Sweet! Thanks Derek!

Ritaelyn left a comment in the discussion Shipped: L1 Equity Quote Data + Instant Universe Selection

Great work! Does the L1 data include ETF quotes or is it just stocks for the time being? If it...

0.746Net Profit

44.339PSR

0.864Sharpe Ratio

0.703Alpha

1.559Beta

9.445CAR

26.2Drawdown

-0.06Loss Rate

7Parameters

0Security Types

0.074Sortino Ratio

25Tradeable Dates

3Trades

0.674Treynor Ratio

0Win Rate

62.087Net Profit

42.439PSR

0.963Sharpe Ratio

0.053Alpha

0.442Beta

14.048CAR

13.4Drawdown

-4.24Loss Rate

7Parameters

0Security Types

1.173Sortino Ratio

1141Tradeable Dates

24Trades

0.265Treynor Ratio

9.84Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

7Parameters

0Security Types

-0.216Sortino Ratio

26Tradeable Dates

4Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

7Parameters

0Security Types

-0.216Sortino Ratio

26Tradeable Dates

4Trades

0Treynor Ratio

0Win Rate

0.06Net Profit

0PSR

3.15Sharpe Ratio

20.545Alpha

55.082Beta

6.104CAR

14.9Drawdown

-14.86Loss Rate

7Parameters

0Security Types

7.9228162514264E+28Sortino Ratio

4Tradeable Dates

7Trades

0.147Treynor Ratio

8.77Win Rate

2.298Net Profit

40.421PSR

0.887Sharpe Ratio

0.002Alpha

0.019Beta

0.62CAR

0.7Drawdown

-0.15Loss Rate

6Parameters

0Security Types

1.118Sortino Ratio

1141Tradeable Dates

24Trades

0.264Treynor Ratio

0.41Win Rate

Ritaelyn started the discussion ZB Futures has bad trade data on 12/22/2016

ZB futures are priced at $0 on 12/22/2016. This is really problematic as buy and hold on any sort...

Ritaelyn left a comment in the discussion ZB Futures has bad trade data on 12/22/2016

Fixed the notional value calculating as it should be ordering 7 contracts, not 13(which 13 is very...

Ritaelyn left a comment in the discussion ZB Futures has bad trade data on 12/22/2016

Here is a buy&hold backtest rolling /ZB contracts. It's buying enough contracts with cash up to...

Ritaelyn left a comment in the discussion Shipped: L1 Equity Quote Data + Instant Universe Selection

Sweet! Thanks Derek!

Ritaelyn left a comment in the discussion Shipped: L1 Equity Quote Data + Instant Universe Selection

Great work! Does the L1 data include ETF quotes or is it just stocks for the time being? If it...

Ritaelyn started the discussion Possible to model tax lot methods?

I'm considering going live with an algorithm but it does a lot of portfolio rebalancing across a...

Ritaelyn started the discussion Interactive Brokers Paper Account Won't fill certain securities even with a market order

I've launched a live algorithm against a paper account on Interactive Brokers. IBKR isn't letting...

Ritaelyn left a comment in the discussion Probabilistic Sharpe Ratio

Hi Jared,

Ritaelyn started the discussion Possible to use delayed data live trading?

I have a trading algorithm that trades futures that I want to test live using my Interactive...

Ritaelyn left a comment in the discussion Are extended market hours ignored with Resolution.Hour?

You can have it return extended hours in the AddEquity function by setting the extendedMarketHours...

Ritaelyn left a comment in the discussion ZB Futures has bad trade data on 12/22/2016

Fixed the notional value calculating as it should be ordering 7 contracts, not 13(which 13 is very...

3 years ago