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ETF Strategy

This strategy is an equity and bond momentum algorithm. I use 3x leveraged equity ETF (SSO) and the 20 year US Treasury ETF (TLT).
A special thanks to Kory Hoang for this algorithm template.

Can anyone increase the sharpe ratio?

2 responses

[enter link description here][1]Sharpe at 1.12 now with 29% dd for 950% total returns. Can someone optimise further? It seems 2015 was not a great year for the algorithm.


Clone Algorithm
Backtest from to with initial capital
Total Returns
Max Drawdown
Benchmark Returns
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: 59ec1e782bab443f4daa313b
There was a runtime error.

Hello - whenever I see someone posting a series of tweaks like this, I worry that you're overfitting to past results.

Do you have a strategy to prevent overfitting?


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