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is this result of any value

My algo underperforms the benchmark (SPY) in the past few years, but dows well both on the upside and downside otherwise. I think it is because of a market anomaly where companies with poor earnings are rising whereas old bluechips with good earnings are not doing well.
So, I would like to know if this result (or my algorithm which generated it) is of any relevance?


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: 598d5797e6079b5777bc19e6
There was a runtime error.
3 responses

Per dollar is 120%, higher than the 106% shown because .9 was put to use.

I did not understand where 120% , 106% and 9 come into the picture.


106 came from hovering over the chart while 120 from using this on it, with .9 from 908209 of $1000000. So if the 91790 unused cash were utilized then more blue area under the curve. It is not easy to understand, as leverage hit 1.04 yet max risk only around ~900k, so I'd say early on, the high point in leverage was from shorting a bit high in relation to cash and longs. Notice that leverage value of 1.04 did not ding overall pvr, it is based on max risk instead. The downturn mid-2014 may have been partial fills trying to close. If you'd like to investigate, try starting with 100k for fewer partial, and another route is track_orders, setting a valid trading date from just before that downturn in its 'start' list. From there, hopefully a pattern of certain stocks involved in the dip can be deciphered and perhaps a new pipeline factor might screen some of them.

2017-08-04 13:00 _pvr:256 INFO PvR 0.0379 %/day   cagr 0.060   Portfolio value 2092268   PnL 1092268  
2017-08-04 13:00 _pvr:257 INFO   Profited 1092268 on 908209 activated/transacted for PvR of 120.3%  
2017-08-04 13:00 _pvr:258 INFO   QRet 109.23 PvR 120.27 CshLw 91790 MxLv 1.04 MxRisk 908209 MxShrt -485808  
2017-08-04 13:00 pvr:333 INFO 2005-01-03 to 2017-08-04  $1000000  2017-08-11 02:07 US/Pacific  
Runtime 1 hr 4.4 min