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High Risk, High Gain? - Sorting the Universe

Inspired by the idea that if we sort our universe (which can be based on many factors, i.e. volume, prices, number of days increase, etc.) and sell/buy the top/bottom, say, 10% of the stocks respectively, we could potentially get a good outcome. However, sorting should take place every minute; in fact, not even every day. Here I tried to update sorting every 15 days (or perhaps a bit longer).

The result is high gain but also high drawdown. May not be an ideal algo but definitely worth improving upon. Any suggestions welcomed!

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: 514670bd05b005086f3d81cf
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.
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