Is this right? Standard Deviation Trade

Can someone help me understand this % return?

Clone Algorithm
25
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Backtest from to with initial capital ( data)
Total Returns
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Alpha
--
Beta
--
Sharpe
--
Sortino
--
Information Ratio
--
Benchmark Returns
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Volatility
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Max Drawdown
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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
Information Ratio 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
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.
There was a runtime error.
3 responses

Hi Jonathan,

The algorithm is accumulating a very large position in apple - $400k or so on an initial $20k capital base. Since apple performed so well, the returns are outrageous. This is why hand picking individual stocks for backtesting exposes you to severe look ahead bias - you can easily pick a high performing stock that will make almost any algorithm perform very well. I've attached a backtest using the SPY ETF with the same algorithm, and you can see how the same leverage works against the strategy.

thanks,
fawce

Clone Algorithm
10
Loading...
Backtest from to with initial capital ( data)
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Information Ratio
--
Benchmark Returns
--
Volatility
--
Max Drawdown
--
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
Information Ratio 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
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.
There was a runtime error.

Hi John,

I am getting "Runtime exception: TypeError: Non-numeric value specified to 'record'" error when trying to run this algorithm.
Is it that there are some change in the record API ?

Thanks,
Derek

Hmph. Looks like you found a bug. We did update the "record" code this week, and evidently we introduced something unexpected. We'll look into it. Sorry for the inconvenience.