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319.156Net Profit
66.166PSR
1.039Sharpe Ratio
0.12Alpha
0.812Beta
29.842CAR
21.4Drawdown
-0.28Loss Rate
149Parameters
1Security Types
1376Tradeable Dates
1331Trades
0.218Treynor Ratio
0.57Win Rate
498.573Net Profit
80.93PSR
1.27Sharpe Ratio
0.173Alpha
0.897Beta
38.553CAR
24.7Drawdown
-0.07Loss Rate
0Parameters
2Security Types
2003Tradeable Dates
6514Trades
0.263Treynor Ratio
0.15Win Rate
1839.782Net Profit
98.977PSR
2.034Sharpe Ratio
0.38Alpha
0.986Beta
71.659CAR
21.2Drawdown
-0.07Loss Rate
402Parameters
1Security Types
1376Tradeable Dates
12381Trades
0.456Treynor Ratio
0.14Win Rate
3320.28Net Profit
98.585PSR
2.115Sharpe Ratio
0.508Alpha
1.037Beta
90.35CAR
27.3Drawdown
-0.15Loss Rate
379Parameters
1Security Types
1376Tradeable Dates
7448Trades
0.56Treynor Ratio
0.27Win Rate
670.729Net Profit
48.304PSR
1.048Sharpe Ratio
0.292Alpha
1.12Beta
49.553CAR
42.4Drawdown
-0.98Loss Rate
113Parameters
1Security Types
0Tradeable Dates
482Trades
0.319Treynor Ratio
3.34Win Rate
sanchari left a comment in the discussion Strategy Discussion: 548
Thanks @ray-juang for publishing this. I also came across multiple strategies with this issue and...
sanchari left a comment in the discussion Strategy Discussion: 531
Hey vidal boreal , it's not the same code. the original strategy has issue of pre close fills and...
sanchari left a comment in the discussion Strategy Discussion: 504
Hey gladiator072 , Thanks for pointing out the issue. Made changes to fill on next days open...
sanchari left a comment in the discussion Strategy Discussion: 504
Hey, Thanks for pointing out the issue. Made changes to fill on next days open based on todays...
319.156Net Profit
66.166PSR
1.039Sharpe Ratio
0.12Alpha
0.812Beta
29.842CAR
21.4Drawdown
-0.28Loss Rate
149Parameters
1Security Types
1376Tradeable Dates
1331Trades
0.218Treynor Ratio
0.57Win Rate
498.573Net Profit
80.93PSR
1.27Sharpe Ratio
0.173Alpha
0.897Beta
38.553CAR
24.7Drawdown
-0.07Loss Rate
0Parameters
2Security Types
2003Tradeable Dates
6514Trades
0.263Treynor Ratio
0.15Win Rate
1839.782Net Profit
98.977PSR
2.034Sharpe Ratio
0.38Alpha
0.986Beta
71.659CAR
21.2Drawdown
-0.07Loss Rate
402Parameters
1Security Types
1376Tradeable Dates
12381Trades
0.456Treynor Ratio
0.14Win Rate
3320.28Net Profit
98.585PSR
2.115Sharpe Ratio
0.508Alpha
1.037Beta
90.35CAR
27.3Drawdown
-0.15Loss Rate
379Parameters
1Security Types
1376Tradeable Dates
7448Trades
0.56Treynor Ratio
0.27Win Rate
670.729Net Profit
48.304PSR
1.048Sharpe Ratio
0.292Alpha
1.12Beta
49.553CAR
42.4Drawdown
-0.98Loss Rate
113Parameters
1Security Types
0Tradeable Dates
482Trades
0.319Treynor Ratio
3.34Win Rate
335.004Net Profit
78.679PSR
1.193Sharpe Ratio
0.151Alpha
0.88Beta
34.183CAR
22.9Drawdown
-0.05Loss Rate
0Parameters
2Security Types
1825Tradeable Dates
6942Trades
0.228Treynor Ratio
0.13Win Rate
793.786Net Profit
81.452PSR
1.398Sharpe Ratio
0.287Alpha
1.072Beta
53.983CAR
33.9Drawdown
-0.3Loss Rate
0Parameters
2Security Types
1852Tradeable Dates
2751Trades
0.326Treynor Ratio
0.41Win Rate
412.003Net Profit
34.517PSR
0.853Sharpe Ratio
0.208Alpha
1.116Beta
37.971CAR
42.2Drawdown
-1.05Loss Rate
0Parameters
1Security Types
1274Tradeable Dates
418Trades
0.245Treynor Ratio
3.21Win Rate
398.657Net Profit
33.173PSR
0.837Sharpe Ratio
0.203Alpha
1.133Beta
37.254CAR
42.6Drawdown
-1.1Loss Rate
0Parameters
1Security Types
1274Tradeable Dates
418Trades
0.238Treynor Ratio
3.29Win Rate
326.039Net Profit
28.322PSR
0.762Sharpe Ratio
0.177Alpha
1.034Beta
33.062CAR
44.6Drawdown
-1.09Loss Rate
0Parameters
1Security Types
1274Tradeable Dates
403Trades
0.23Treynor Ratio
3.11Win Rate
427.977Net Profit
33.625PSR
0.853Sharpe Ratio
0.215Alpha
1.187Beta
38.808CAR
44.7Drawdown
-1.13Loss Rate
0Parameters
1Security Types
1274Tradeable Dates
409Trades
0.239Treynor Ratio
3.38Win Rate
730.172Net Profit
89.336PSR
1.5Sharpe Ratio
0.273Alpha
0.696Beta
52.698CAR
22.9Drawdown
-0.78Loss Rate
0Parameters
2Security Types
1825Tradeable Dates
949Trades
0.475Treynor Ratio
1.08Win Rate
707.408Net Profit
47.384PSR
1.055Sharpe Ratio
0Alpha
0Beta
51.851CAR
42.9Drawdown
-1.24Loss Rate
93Parameters
1Security Types
0Tradeable Dates
539Trades
0Treynor Ratio
2.44Win Rate
666.142Net Profit
46.315PSR
1.049Sharpe Ratio
0Alpha
0Beta
50.233CAR
42.9Drawdown
-1.21Loss Rate
93Parameters
1Security Types
0Tradeable Dates
586Trades
0Treynor Ratio
2.09Win Rate
666.142Net Profit
46.315PSR
1.049Sharpe Ratio
0Alpha
0Beta
50.233CAR
42.9Drawdown
-1.21Loss Rate
95Parameters
1Security Types
0Tradeable Dates
586Trades
0Treynor Ratio
2.09Win Rate
710.125Net Profit
47.866PSR
1.06Sharpe Ratio
0Alpha
0Beta
52.058CAR
42.9Drawdown
-1.22Loss Rate
78Parameters
1Security Types
0Tradeable Dates
525Trades
0Treynor Ratio
2.48Win Rate
421.007Net Profit
58.321PSR
1.033Sharpe Ratio
0.157Alpha
0.698Beta
35.461CAR
19.9Drawdown
-0.86Loss Rate
0Parameters
2Security Types
1985Tradeable Dates
995Trades
0.321Treynor Ratio
1.07Win Rate
1083.401Net Profit
94.302PSR
1.661Sharpe Ratio
0.298Alpha
0.702Beta
57.627CAR
23.1Drawdown
-0.79Loss Rate
0Parameters
2Security Types
1984Tradeable Dates
946Trades
0.519Treynor Ratio
1.19Win Rate
190.409Net Profit
57.923PSR
0.872Sharpe Ratio
0.062Alpha
0.726Beta
21.779CAR
32.8Drawdown
-0.18Loss Rate
18Parameters
1Security Types
0Tradeable Dates
646Trades
0.163Treynor Ratio
0.82Win Rate
666.14Net Profit
46.315PSR
1.049Sharpe Ratio
0Alpha
0Beta
50.233CAR
42.9Drawdown
-1.21Loss Rate
78Parameters
1Security Types
0Tradeable Dates
586Trades
0Treynor Ratio
2.09Win Rate
11016.745Net Profit
99.852PSR
2.879Sharpe Ratio
0.915Alpha
1.135Beta
156.432CAR
26Drawdown
-0.29Loss Rate
251Parameters
1Security Types
1255Tradeable Dates
5863Trades
0.877Treynor Ratio
0.47Win Rate
471.349Net Profit
53.464PSR
1.03Sharpe Ratio
0.221Alpha
0.781Beta
40.959CAR
31.5Drawdown
-0.95Loss Rate
76Parameters
1Security Types
1273Tradeable Dates
558Trades
0.347Treynor Ratio
1.71Win Rate
186684.697Net Profit
99.962PSR
3.313Sharpe Ratio
1.326Alpha
1.267Beta
224.021CAR
53.7Drawdown
-0.69Loss Rate
173Parameters
1Security Types
1608Tradeable Dates
3672Trades
1.136Treynor Ratio
1.12Win Rate
156615.386Net Profit
99.623PSR
3.024Sharpe Ratio
1.307Alpha
1.617Beta
216.042CAR
65.2Drawdown
-0.73Loss Rate
164Parameters
1Security Types
1606Tradeable Dates
3620Trades
0.897Treynor Ratio
1.13Win Rate
1297420.631Net Profit
100PSR
4.445Sharpe Ratio
1.929Alpha
1.496Beta
341.839CAR
41.2Drawdown
-0.36Loss Rate
163Parameters
1Security Types
1601Tradeable Dates
7680Trades
1.378Treynor Ratio
0.54Win Rate
sanchari left a comment in the discussion Strategy Discussion: 549
yeah Ray Juang , thanks for pointing it out.
sanchari left a comment in the discussion Strategy Discussion: 548
Thanks @ray-juang for publishing this. I also came across multiple strategies with this issue and...
sanchari left a comment in the discussion Strategy Discussion: 531
Hey vidal boreal , it's not the same code. the original strategy has issue of pre close fills and...
sanchari left a comment in the discussion Strategy Discussion: 504
Hey gladiator072 , Thanks for pointing out the issue. Made changes to fill on next days open...
sanchari left a comment in the discussion Strategy Discussion: 504
Hey, Thanks for pointing out the issue. Made changes to fill on next days open based on todays...
sanchari left a comment in the discussion Strategy Discussion: 549
yeah Ray Juang , thanks for pointing it out.
1 months ago