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Day and Night

A simple implementation of this post. I found buying in the morning and selling at night is better than claimed in the paper. Any insights?

Clone Algorithm
34
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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: 51b534cebc26e506b03897e9
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.
There was a runtime error.
5 responses

Hello Taibo,

Very volatile...any way to tame the ups and downs?

Grant

The other problem here is that it borrows money without a real limit. I added a "record" line to graph the amount of cash - you can see it borrows millions to get this result. The original has limits on individual positions, but no real limit on the number of positions.

Clone Algorithm
2
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: 51b740c2483ed706b4e98a99
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.
There was a runtime error.
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You know, having charts of risk metrics would be pretty cool, and easy if I understand how it works.

capital committed, cash balance, leverage ratio, rolling mean/stddev/beta/information coefficient etc

It might be a nice visual indicator of the strategy's adaptation to various regimes.

Simon, have you started a paper trading algo yet? We have graphs of risk metrics there. We've talked about retrofitting them to backtests. Are they the kind of graphs you're looking for?

I'll have to take a look, last I heard was that the paper trading required minute-capable systems which ruled out anything that used fetcher to get VIX index prices. Has that been fixed?