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is this result of any value

Hello,
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?

thanks
-kamal

Clone Algorithm
9
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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: 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.

thanks
-kamal

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