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7.6Net Profit

55.576PSR

1.226Sharpe Ratio

0.13Alpha

-0.037Beta

19.283CAR

11.3Drawdown

-21.55Loss Rate

0Parameters

0Security Types

104Tradeable Dates

18Trades

-3.743Treynor Ratio

31.04Win Rate

-0.607Net Profit

0PSR

-6.864Sharpe Ratio

0.168Alpha

-13.112Beta

-42.649CAR

1Drawdown

-0.14Loss Rate

47Parameters

0Security Types

7.9228162514264E+28Sortino Ratio

2Tradeable Dates

12Trades

0.035Treynor Ratio

0Win Rate

-0.076Net Profit

0PSR

-19.087Sharpe Ratio

0Alpha

0Beta

-12.928CAR

0.1Drawdown

-0.05Loss Rate

2Parameters

0Security Types

-61.848Sortino Ratio

1Tradeable Dates

7Trades

0Treynor Ratio

0.03Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

4Parameters

0Security Types

7.9228162514264E+28Sortino Ratio

1Tradeable Dates

75Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

4Parameters

0Security Types

7.9228162514264E+28Sortino Ratio

1Tradeable Dates

4323Trades

0Treynor Ratio

0Win Rate

Valery left a comment in the discussion Jupyter kernel keeps dieing/disconnecting

Hi Shile,

Valery left a comment in the discussion Has anyone tried to migrate this amazing "Long only non day trading for live" algo from Quantopian?

>>It performed really well in backtesting on quantopian.<<

Valery left a comment in the discussion Making friends and trading together,

Hi Domenico,

Valery started the discussion Behavior of technical indicators with universe

When a stock is removed from the universe, what happens to the updates to the technical indicators?

7.6Net Profit

55.576PSR

1.226Sharpe Ratio

0.13Alpha

-0.037Beta

19.283CAR

11.3Drawdown

-21.55Loss Rate

0Parameters

0Security Types

104Tradeable Dates

18Trades

-3.743Treynor Ratio

31.04Win Rate

-0.607Net Profit

0PSR

-6.864Sharpe Ratio

0.168Alpha

-13.112Beta

-42.649CAR

1Drawdown

-0.14Loss Rate

47Parameters

0Security Types

7.9228162514264E+28Sortino Ratio

2Tradeable Dates

12Trades

0.035Treynor Ratio

0Win Rate

-0.076Net Profit

0PSR

-19.087Sharpe Ratio

0Alpha

0Beta

-12.928CAR

0.1Drawdown

-0.05Loss Rate

2Parameters

0Security Types

-61.848Sortino Ratio

1Tradeable Dates

7Trades

0Treynor Ratio

0.03Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

4Parameters

0Security Types

7.9228162514264E+28Sortino Ratio

1Tradeable Dates

75Trades

0Treynor Ratio

0Win Rate

0Net Profit

0PSR

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

4Parameters

0Security Types

7.9228162514264E+28Sortino Ratio

1Tradeable Dates

4323Trades

0Treynor Ratio

0Win Rate

16.194Net Profit

0.032PSR

0.145Sharpe Ratio

-0.03Alpha

0.45Beta

1.152CAR

29.9Drawdown

-0.03Loss Rate

5Parameters

0Security Types

0.16Sortino Ratio

3297Tradeable Dates

6549Trades

0.033Treynor Ratio

0.03Win Rate

-25.201Net Profit

0PSR

-0.313Sharpe Ratio

-0.018Alpha

-0.012Beta

-2.589CAR

36Drawdown

22Loss Rate

11Parameters

1Security Types

-0.0324Sortino Ratio

3454Tradeable Dates

4951Trades

1.561Treynor Ratio

78Win Rate

-48.563Net Profit

0PSR

-0.482Sharpe Ratio

-0.043Alpha

-0.007Beta

-5.83CAR

58.4Drawdown

26Loss Rate

11Parameters

1Security Types

-0.0275Sortino Ratio

3426Tradeable Dates

8781Trades

5.814Treynor Ratio

74Win Rate

8Parameters

0Security Types

3524Tradeable Dates

22Parameters

1Security Types

608Tradeable Dates

-12.718Net Profit

-10.248Sharpe Ratio

-0.144Alpha

0.429Beta

-12.729CAR

12.7Drawdown

87Loss Rate

1Security Types

-0.00026588352074209Sortino Ratio

252Tradeable Dates

4824Trades

-0.316Treynor Ratio

13Win Rate

-26.973Net Profit

-1.023Sharpe Ratio

-0.368Alpha

0.769Beta

-27.1CAR

27.1Drawdown

57Loss Rate

1Security Types

-0.22030682553581Sortino Ratio

250Tradeable Dates

150Trades

-0.36Treynor Ratio

43Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

2Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

2Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

0Net Profit

0Sharpe Ratio

0Alpha

0Beta

0CAR

0Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

83Tradeable Dates

0Trades

0Treynor Ratio

0Win Rate

240.209Net Profit

0.965Sharpe Ratio

0.186Alpha

-5.984Beta

10.76CAR

13.9Drawdown

30Loss Rate

1Security Types

0.19083965824414Sortino Ratio

3015Tradeable Dates

569Trades

-0.015Treynor Ratio

70Win Rate

-23.97Net Profit

-2.078Sharpe Ratio

-1.148Alpha

-0.374Beta

-80.892CAR

25.6Drawdown

100Loss Rate

1Security Types

-0.44173029766382Sortino Ratio

34Tradeable Dates

1564Trades

3.171Treynor Ratio

0Win Rate

-3.202Net Profit

0Sharpe Ratio

0Alpha

0Beta

-100CAR

3.9Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

1Tradeable Dates

1Trades

0Treynor Ratio

0Win Rate

-0.057Net Profit

-3.634Sharpe Ratio

-0.004Alpha

-0.005Beta

-0.501CAR

0.1Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

21Tradeable Dates

4Trades

0.936Treynor Ratio

0Win Rate

-0.048Net Profit

-2.868Sharpe Ratio

-0.006Alpha

0Beta

-0.683CAR

0.1Drawdown

0Loss Rate

1Security Types

0Sortino Ratio

17Tradeable Dates

4Trades

-30.337Treynor Ratio

0Win Rate

Valery left a comment in the discussion Live Forex trading strategy with triple EMA

Hi Mykola,

Valery left a comment in the discussion Jupyter kernel keeps dieing/disconnecting

Hi Shile,

Valery left a comment in the discussion Has anyone tried to migrate this amazing "Long only non day trading for live" algo from Quantopian?

>>It performed really well in backtesting on quantopian.<<

Valery left a comment in the discussion Making friends and trading together,

Hi Domenico,

Valery started the discussion Behavior of technical indicators with universe

When a stock is removed from the universe, what happens to the updates to the technical indicators?

Valery started the discussion How do I detect a margin call after failed option assignment?

How do I detect a margin call after failed option assignment (because of unsufficient buying power)?

Valery left a comment in the discussion How do I detect a margin call after failed option assignment?

Alexandre,

Valery left a comment in the discussion From Research To Production: Kalman Filters and Pairs Trading

What is the purpose of generating insights _and_ market orders at the same time? How the insights...

Valery started the discussion Getting current data in scheduled event

I am trying to get current price in scheduled event handler:

Valery started the discussion Alpaca partial fill interpreted incorrectly by LEAN engine

During Alpaca live paper trading I received the following messages:

Valery started the discussion How to un-register an indicator?

There is RegisterIndicator method, but no UnRegisterIndicator method.

Valery started the discussion How Do I access a particular security in DataFrame returned by History?

history = self.History(symbols, 2, Resolution.Daily)

Valery started the discussion How do I access a particular security in DataFrame returned by History?

history = self.History(symbols, 2, Resolution.Daily)

Valery started the discussion Value of Greeks.Delta is always 0

Value of Greeks.Delta is always 0.

Valery started the discussion How do I specify filter for monthly contracts?

How do I specify filter for monthly contracts in C#?

Valery started the discussion Option.SetFilter does not work for expiration date

The following call does not limit expiration dates returned in OnData():

Valery started the discussion Feature request: Smart Pricing

This feature gives big advantage in options trading:

Valery started the discussion Hedging RUT Spreads with TF Futures

fhttp://www.interactivebrokers.com/download/en/Hedging_RUT_with_TF.pdf

Valery started the discussion How do I debug fatal error in the mono runtime?

I got this error:

Valery started the discussion How do I know that stock split is coming?

I want to avoid trading options if a stock split is coming.

Valery started the discussion Warning 'Symbol.implicit operator string(Symbol)' is obsolete

I am getting the following warning:

Valery started the discussion Sharpe 13, performance 66%

This algo:

Valery started the discussion How can I exclude biotech industry?

My fundamental algo picks biotech and oil/gas stocks. I want to exclude them.

Valery started the discussion Variation of Correlation and Cointegration Approach

This is a variation of:

Valery started the discussion How do I get indicator value from N days ago?

I want to get RSI value from 15 days ago. How do I do that?

Valery started the discussion How can I plot price with buy/sell overlay on the same chart with other indicators?

I would like to plot stock price with buy/sell overlay next to RSI, MACD, etc. indicators.

Valery left a comment in the discussion Live Forex trading strategy with triple EMA

Hi Mykola,

3 years ago