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A naive attempt using Kinetic Component Analysis

A naive implementation of trading rules on Kinetic Component Analysis. Anyone care to improve trading rules (entry/exit)?

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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
--
Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 599233268439c64fa36dcf82
There was a runtime error.
2 responses

Hi Pravin -

What is Kinetic Component Analysis? And why might it work?

Also, since you are using daily data, could your code be written as a pipeline custom factor (so that it could be combined with other factors, in a single algo)?

Thanks,

Grant

Hi Grant,

Here is the paper. It could be written as a pipeline factor but first I want to get it working with a single asset. Mostly predicting futures.

Best regards,
Pravin