Back to Community
IGNORE. WILL REPOST WHEN ISSUES ARE FIXED.

THREAD IS RIP. DON'T POST HERE PLEASE. I MADE A MASSIVE ERROR, I WILL REPOST WHEN IT IS FIXED

6 responses

Algo Vs. FAANG

Loading notebook preview...
Notebook previews are currently unavailable.

Positive except that some belongs to the broker due to the 16 million in margin.

@blue: I know, I will probably not be designing this with 10,000,000 as the portfolio value since there is no point (I dont have 10,000,000 - most people dont have 10,000,000) . I'll set it to 100,000 and add one line of code to to make sure that it doesn't over leverage and that should solve the problem.

Either way, It happens for a few minutes if I remember correctly - not exactly a big deal in terms of returns I imagine, Ill have to check later.

This is going to sting a little. Charting overnight margin using https://www.quantopian.com/posts/margin. The basis is simple, noting any negative cash before market open. One night was 8.5M. Average per day around 80k. Stung now avoids worse sting later in the real market.

Either way, It happens for a few minutes if I remember correctly - not exactly a big deal in terms of returns I imagine, [...]

Seems to be going around.

Hover over the custom chart for an anti-ho_hum_margin_what_margin inoculation.

Clone Algorithm
1
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: 5987016eb2cd244fd11220d5
There was a runtime error.

I believe the traditional N in FANG is Netflix, though I can understand preferring Nvidia. Here's how it does with FAAANNMGS.

What do you think about a situation like happened at the beginning of June when the big funds apparently rotated out of tech and into other sectors like financials? Do you think psych signal could be used to effectively reduce exposure to FANG in instances like that? I assume when things fall for no rational reason sentiment would get more bullish, so it wouldn't exactly help with avoiding drawdowns.

Clone Algorithm
0
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: 59875121dbab994fa42652c0
There was a runtime error.

HOLY SHIT. God damnit. thanks guys, I've always done that!
Literally every time.
I prefer Nvidia over Netflix so i always mess this up. thats what I get for writing this at 3AM i guess

KILL THIS THREAD, ILL POST A NEW ONE WHEN IVE FIXED IT