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Cloned from "ETF market rotation strategy"

Hello everyone,

Just joined quantopian, so apologies if I missed out on some info here. But I ran the algorithm for $1 million between 2004 till 2015. Why are the returns only positive after 2009 onward whereas there is a significant loss before.

Clone Algorithm
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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: 54aeeb29fe9b6a6861f8ba64
There was a runtime error.
1 response

Saif,
I'm not sure there is a one size fits all answer as to why this underperforms prior to the collapse. This is inherently a momentum algorithm, so the recent strong bull market has allowed it to flourish, I'm guessing it gets into biotech in recent recent years. Also, some of the funds this is trading might not have existed throughout the duration of the test, so maybe there was not much for it to choose from. It was probably just bad entry timing on the positions earlier in the test period. I would play around with it, maybe add another batch of funds that have existed since '04.

David