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Cubs Strategy

Chipy Backtest Strategy

Clone Algorithm
36
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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: 55e931666421450df082417c
There was a runtime error.
3 responses

So I took a look at your algorithm. You appear to be trying to see if the Chicago Cubs win, if that predicts the market will go up the next day.

As I was reading through your code, I thought, "oh, he's going to have look-ahead bias." But it looks like you got that! You knew that Cubs games happen after the market closes, and you timeshifted the win/loss by a day.

Great work. Too bad it's not a strong financial theory ;0

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Thanks Dan. Although the Cubs do play the most day games in the league, most of the finish times are after the market closes. I put this together as a demo for the Chicago Python Users Group (chipy.org). Turns out it's a better strategy (mostly because it is in cash during 2008-2009 offseason) if you sell when the Cubs win and buy when the Cubs lose (Sorry Cubbies), although still not really a money maker. One of the issues we explored during our meeting was determining if we could generate some sort of outperformance with a better trading strategy (i.e. not going in and out of cash). I put all the documents from the meetup here.

Clone Algorithm
36
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: 55e92f97e19e280dda2f59aa
There was a runtime error.

Here is the research.

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