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Hi all,

As of now I do not believe there is a way to set your benchmark for your specific algorithm. I think the "benchmark" is a close resemblance of the S&P 500.

I read in a post earlier that the people at Quantopian (btw awesome work so far guys!) are working on letting you set your own benchmark. Until then, I created this simple algorithm that you can use as a benchmark against the strategy you are running.

Basically, all it does is take the cash that you start with, given a list of securities, and purchases them with an equal share of the portfolio on day 0 and hold throughout your time frame. It shows up as its own algorithm so you'll have to switch back and forth to compare with yours, but so far I've found it to be useful.

Here's one using Johnson and Johnson as a reference:

Clone Algorithm
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Backtest from to with initial capital ( data)
Cumulative performance:
Algorithm Benchmark
Custom data:
Week
Month
All
Total Returns
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Alpha
--
Beta
--
Sharpe
--
Sortino
--
Information Ratio
--
Benchmark Returns
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Volatility
--
Max Drawdown
--
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
Information Ratio 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
This backtest was created using an older version of the backtester. Please re-run this backtest to see results using the latest backtester. Learn more about the recent changes.
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