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ASDASD

ASDASD

7 responses

Derek, this looks very promising. From just eyeing it, I think all the major dips are during major downturns in the market as a whole. I wish I had the time to iterate on this right now but I at least wanted to get my gut feel suggestion to you tonight. This might sound too simple but maybe get out of positions when the market is below like a 200 day SMA or maybe use MACD to do something similar to sell off? Just a suggestion, I know it sounds crude so take it or leave it.

Derek,

When I clone this and run it, it buys no stocks? A total flat line. Not sure why? I've been going through it, but not sure why?

Best,
Tom

Performance is often deceptive when its a single continuous return series.

I mean just running the algo for the past 5 years or so demonstrates that. The algo is down ~30% against a benchmark of +70%.

Clone Algorithm
13
Loading...
Backtest from to with initial capital
Total Returns
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Alpha
--
Beta
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Sharpe
--
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: 55fa430a8c57500dfc3410b1
There was a runtime error.

When you backtest from 2010 that will have big difference performance, why have these issue ?

Clone Algorithm
19
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
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: 55fabc8fa87af40e101fc88b
There was a runtime error.

Thanks. You're right. I had reset to daily data to try to speed up the backtest and forgot about it. In terms of seeing huge differences, this will happen with a) fewer stocks and b) lower turnover. This is one reason that 'automated' rolling backtests with a large number of start dates can help a lot. But, the backtester is already so slow as to be unusable for large chunks of the day.... so not sure Quant can build this now even if they want to. I'd love to see them speed the site up. Or limit people's 'tests'... or something.

does not do well during the recession

This algorithm doesn't work because it is filtering the universe and choosing the top 20 securities only once (at least that's what's happening in the migrated version).

The op got good results because starting in the date he started, the algorithm picks 20 securities that perform well afterwards.

Please correct me if I'm wrong...