Yuri Lopukhov
Quant
Date Joined
7th January, 2020
Bootcamp progress
85% Complete
Achievements
Algorithm Sharing
Share an algorithm with the community by making your algorithm public.
2020-10-14 15:17:50
Chatter Box
Leave at least 100 comments on community posts.
2023-01-09 15:10:24
Backtester
Run at least 100 backtests on QuantConnect's cloud.
2020-01-31 13:18:20
Live Trading
Deploy a live trading algorithm using one of QuantConnect's supported brokerages.
2020-01-31 12:54:26
Parallel Live Trading
Run multiple live algorithms simultaneously.
2020-02-03 08:26:19
Python Programming
Choose Python as your preferred programming language.
2020-01-07 05:49:01
Popular
Receive at least 10 upvotes from different users in the community.
2022-05-27 03:19:50
Bug Hunter
Report at least 10 bugs to QuantConnect.
2021-05-05 22:40:09
Boot Camp Private
Complete a beginner bootcamp in the algorithm lab.
2020-01-07 08:11:30
Boot Camp Corporal
Complete an advanced bootcamp in the algorithm lab.
2020-09-15 17:29:06
Connected with Discord
2023-02-20 09:31:25
- Profile
- Backtests
- Community
Biography
Activity on QuantConnect
This section highlights your contributions and engagement across the QuantConnect platform — including backtests, live trades, published research, and community involvement through comments and threads. It reflects your overall activity as part of the QuantConnect community.
Public Backtests (19)
View More741.046Net Profit
15.706PSR
0.7Sharpe Ratio
0.086Alpha
-0.082Beta
13.334CAR
19.4Drawdown
-0.43Loss Rate
33Parameters
1Security Types
4280Tradeable Dates
7270Trades
-0.981Treynor Ratio
0.65Win Rate
1232.998Net Profit
42.53PSR
0.874Sharpe Ratio
0.107Alpha
-0.085Beta
16.444CAR
19.6Drawdown
-0.46Loss Rate
33Parameters
1Security Types
4280Tradeable Dates
6488Trades
-1.199Treynor Ratio
0.99Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
3Parameters
2Security Types
0Sortino Ratio
508Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
17.463Net Profit
66.236PSR
0.782Sharpe Ratio
-0.016Alpha
0.701Beta
17.428CAR
6Drawdown
-0.12Loss Rate
45Parameters
1Security Types
252Tradeable Dates
1647Trades
0.095Treynor Ratio
0.13Win Rate
17.463Net Profit
66.236PSR
0.782Sharpe Ratio
-0.016Alpha
0.701Beta
17.428CAR
6Drawdown
-0.12Loss Rate
44Parameters
1Security Types
252Tradeable Dates
1647Trades
0.095Treynor Ratio
0.13Win Rate
Community
View MoreYuri left a comment in the discussion Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)
I've gotten response from Carlo on some of my questions (in italic):
Yuri left a comment in the discussion Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)
The real question is if it actually beats passive SPY investment without leverage? Because you...
Yuri left a comment in the discussion Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)
I am still curious if 0.02 volatility target is universally good.
Yuri left a comment in the discussion Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)
Although, that would mask margin calls on SPY position if it was invested in at 4x leverage, so...
741.046Net Profit
15.706PSR
0.7Sharpe Ratio
0.086Alpha
-0.082Beta
13.334CAR
19.4Drawdown
-0.43Loss Rate
33Parameters
1Security Types
4280Tradeable Dates
7270Trades
-0.981Treynor Ratio
0.65Win Rate
1232.998Net Profit
42.53PSR
0.874Sharpe Ratio
0.107Alpha
-0.085Beta
16.444CAR
19.6Drawdown
-0.46Loss Rate
33Parameters
1Security Types
4280Tradeable Dates
6488Trades
-1.199Treynor Ratio
0.99Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
3Parameters
2Security Types
0Sortino Ratio
508Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
17.463Net Profit
66.236PSR
0.782Sharpe Ratio
-0.016Alpha
0.701Beta
17.428CAR
6Drawdown
-0.12Loss Rate
45Parameters
1Security Types
252Tradeable Dates
1647Trades
0.095Treynor Ratio
0.13Win Rate
17.463Net Profit
66.236PSR
0.782Sharpe Ratio
-0.016Alpha
0.701Beta
17.428CAR
6Drawdown
-0.12Loss Rate
44Parameters
1Security Types
252Tradeable Dates
1647Trades
0.095Treynor Ratio
0.13Win Rate
16.297Net Profit
98.301PSR
2.388Sharpe Ratio
0.104Alpha
-0.042Beta
16.313CAR
2.4Drawdown
-0.02Loss Rate
0Parameters
1Security Types
252Tradeable Dates
9696Trades
-2.413Treynor Ratio
0.1Win Rate
-0.006Net Profit
0.019PSR
-238.533Sharpe Ratio
0Alpha
0Beta
-0.054CAR
0Drawdown
0Loss Rate
3Parameters
1Security Types
29Tradeable Dates
3Trades
0Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
3Parameters
2Security Types
3Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
27.46Net Profit
65.861PSR
1.087Sharpe Ratio
0Alpha
0Beta
28.245CAR
12.4Drawdown
-0.19Loss Rate
10Parameters
1Security Types
0Tradeable Dates
280Trades
0Treynor Ratio
0.1Win Rate
27.967Net Profit
66.904PSR
1.113Sharpe Ratio
0Alpha
0Beta
28.767CAR
12.1Drawdown
-0.17Loss Rate
10Parameters
1Security Types
0Tradeable Dates
288Trades
0Treynor Ratio
0.09Win Rate
4.294Net Profit
21.707PSR
0.345Sharpe Ratio
-0.016Alpha
0.577Beta
4.294CAR
7.9Drawdown
-0.22Loss Rate
61Parameters
1Security Types
252Tradeable Dates
478Trades
0.06Treynor Ratio
0.09Win Rate
-45.888Net Profit
0.179PSR
0.031Sharpe Ratio
-0.029Alpha
0.442Beta
-9.375CAR
80.7Drawdown
0Loss Rate
1Parameters
1Security Types
0Sortino Ratio
2277Tradeable Dates
1Trades
0.028Treynor Ratio
0Win Rate
7.956Net Profit
100PSR
14.353Sharpe Ratio
0Alpha
0Beta
7.059CAR
0.3Drawdown
0Loss Rate
51Parameters
3Security Types
7.9228162514264E+28Sortino Ratio
281Tradeable Dates
375Trades
0Treynor Ratio
0.05Win Rate
277.095Net Profit
99.991PSR
3507.355Sharpe Ratio
2534.239Alpha
-0.563Beta
5122034.159CAR
65.9Drawdown
0Loss Rate
11Parameters
2Security Types
7.9228162514264E+28Sortino Ratio
39Tradeable Dates
60Trades
-4498.814Treynor Ratio
4.69Win Rate
-0.19Net Profit
23.911PSR
-0.924Sharpe Ratio
-0.031Alpha
0.008Beta
-2.232CAR
1Drawdown
0Loss Rate
6Parameters
2Security Types
-0.343Sortino Ratio
22Tradeable Dates
2Trades
-3.567Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
3Parameters
1Security Types
7.9228162514264E+28Sortino Ratio
0Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
0.564Net Profit
27.171PSR
0.353Sharpe Ratio
0.272Alpha
-0.067Beta
1.123CAR
32Drawdown
0Loss Rate
1Parameters
2Security Types
0Sortino Ratio
184Tradeable Dates
295Trades
-3.466Treynor Ratio
0Win Rate
0Net Profit
0PSR
0Sharpe Ratio
0Alpha
0Beta
0CAR
0Drawdown
0Loss Rate
1Parameters
2Security Types
0Sortino Ratio
184Tradeable Dates
0Trades
0Treynor Ratio
0Win Rate
1.195Net Profit
84.659PSR
18.598Sharpe Ratio
0.986Alpha
0.449Beta
153.301CAR
1.1Drawdown
-0.28Loss Rate
3Parameters
1Security Types
23.248Sortino Ratio
5Tradeable Dates
9Trades
4.179Treynor Ratio
0.26Win Rate
Yuri left a comment in the discussion Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)
But I should note that I use default IBKR fee model, not one described in the paper. It has higher...
Yuri left a comment in the discussion Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)
I've gotten response from Carlo on some of my questions (in italic):
Yuri left a comment in the discussion Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)
The real question is if it actually beats passive SPY investment without leverage? Because you...
Yuri left a comment in the discussion Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)
I am still curious if 0.02 volatility target is universally good.
Yuri left a comment in the discussion Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)
Although, that would mask margin calls on SPY position if it was invested in at 4x leverage, so...
Yuri left a comment in the discussion Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)
Right, that's a good catch, I should've scaled benchmark plot with leverage for comparison.
Yuri started the discussion Is there a way to list all supported symbols for Crypto/Forex, etc?
Hello, I am trying to implement universe selection for cryptos, filtering by technical indicators,...
Yuri started the discussion When universe resolution is Tick, History calls ignore Resolution and return tick data
Not sure if this is by design, or I am doing something wrong, but if I set
Yuri started the discussion Pulling History with fillForward parameter from Python
Hello,
Yuri started the discussion IBKR real-time bar data not exactly match TWS bars
Hello, I am testing algorithm live on IBKR account and for some reason bars we get in real-time are...
Yuri started the discussion [Feature Request] Integrate rolling window into indicators
Hello, retrieving historical value for an indicator is a pretty common task, I think it would be...
Yuri started the discussion Updating cancelled order re-creates it?
We have an algorithm trading stocks live on Interactive Brokers.
Yuri started the discussion GOOG Split Problem
I can no longer find a way to add data issue, so I'm just starting regular topic.
Yuri started the discussion Getting adjusted price for indicators in options strategy?
Hello, I need to calculate indicators using adjusted price of the equity and then trade options for...
Yuri started the discussion How does LEAN handle options splits in real-time?
Hello,
Yuri started the discussion How can I get number of stocks in options contract?
While it is usually 100 stock in contract, but if I am not mistaken, this may change in case of a...
Yuri started the discussion Options contract is marked as non-tradeable - why and how to detect it?
Hello, I am working on the options strategy, in my backtesting I see several errors like this:
Yuri started the discussion How to use relative strike distance for filtering option contracts?
I am adding options to universe like this:
Yuri started the discussion Will I have access to fundamental data if I use IBKR data on live instance?
Basically I only need coarse/fine universe selection, in fine selection I need to filter by market...
Yuri started the discussion Does adding weekly options work?
Hello, I am trying to add weekly options to options universe, but using IncludeWeeklys() or even...
Yuri started the discussion History call for futures on backtesting and live with IBKR data returns dataframes with different index
Hello, this call in backtesting:
Yuri started the discussion Daily consolidator starting at 0:00?
Hello, I am using consolidator with timedelta(days=1) with ETHUSDT on Binance data with Minute...
Yuri started the discussion Is Chaikin Money Flow indicator available on QC?
It was added to Lean on December:
Yuri started the discussion Will I get split/dividends events on live if I am using Interactive Brokers data feed?
I need to be notified about splits and dividends, does QuantConnect send split/dividend events in...
Yuri started the discussion Can't get stocks split event for TOPS
Hello, I am investigating why my algorithm has unusual spike in profitability, I detected that this...
Yuri started the discussion HTZ and SNHNL have the same symbol code
I figured that there were two tickers that apparently have the same symbol code:
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Yuri left a comment in the discussion Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)
But I should note that I use default IBKR fee model, not one described in the paper. It has higher...
4 months ago