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feedback from live trading

hello,

is it possible for algorithm to get a feedback from live trading as to what its beta/sharpe ratio is -sot hat it can change the long/short mix accordingly?

thanks
-kamal

3 responses

@Kamal,
Good idea but you don't need feedback from live trading. Track your P&L, and therefore gain & DD within your own algo. Convert gain to annualized CAGR and then calculate MAR = CAGR/DD as a simplified proxy for Sharpe (or do a rolling Sharpe calculation if you want to), and then use this as the input for whatever adaptive or other purposes you want within your algo.

The contest tells me the P&L, beta, sharpe etc.. My algo here
https://www.quantopian.com/leaderboard/35/59f4a334d2332f0009e6e18d

will enter +ve beta on increasing the longs and -ve beta by increasing the shorts. So, to keep beta =~0, I need to constantly change the propertion of longs and shorts.
Right now, the proportion of longs and shorts is fixed and i want it to become reactive.
thanks
-kamal

can you tell me how to get a beta for my algo from price changes on a daily basis?
I am asking because the contest favour low beta stocks over ones with higher sharpe ratio or higher profits.
I personally feel that lowest beta may not yield the best results in all markets.

thanks
-kamal