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Automated Leverage System

Just put together a quick PoC from a technique I learned from a friend who used to work at a CTA. This system looks at the algos performance in terms of total account value over X days and if the returns have been positive it will either increase leverage to a threshold or decrease to 1.0 (no leverage) by a specified increment.

Just wanted to put this out there for discussion.

Clone Algorithm
101
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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
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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: 5548c95c8d52f10e5b870af2
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1 response

thanks for sharing. Was you freind trading this algorithm successfully ? it has %70.2 drawdown periods.