Back to Community
clustering example from yesteryear

Here's a clustering example, posted years ago on Quantopian (I don't take credit for the original code). Perhaps it'd be of interest to folks, and could be brought into the modern era with some re-factoring.

Clone Algorithm
64
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: 59a680a4dab10c5507148c08
There was a runtime error.
1 response

Jonathan Larkin posted a notebook of the approach above here.