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First attempt at a trading algorithm.

This is a pretty awesome tool. In just a few hours we get to see how lots of different parameter choices affect returns. Very cool. Thanks!

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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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: 55a54dfd24bd560c7357f327
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1 response

Great start utilizing the sample mean reversion algo and tracking the longs/shorts! As you continue to tune the strategy, try to get the beta below 0.3 and leverage below 3x to enter it in the contest.

Also, try running your backtest in minute mode, the results will be a better simulation of live trading. (See here for more detail.)

And here are some tips to develop your algo: https://www.quantopian.com/posts/tips-for-writing-robust-algorithms-for-the-hedge-fund

Cheers,
Alisa

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