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Large Cap portfolio max Sharp

Large Cap portfolio max Sharp

Clone Algorithm
14
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: 5938c13388de6869697666ef
There was a runtime error.
5 responses

You are borrowing a lot of money. I would try to manage your leverage. You have to pay an interest rate for every dollar that goes over 100% leverage.

1.0 Leverage means you have $500, and you have invested it all.
2.0 Leverage means you have $500, and are trading with $1000.
10.0 Leverage means you have $500 and you are trading with $5000.

It's a double edge sword you need to watch for. Because profit will increase if you throw more money at it.

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: 593aff379d368f528afe872c
There was a runtime error.

Hi Eric,

That's a good point. Based on your suggestion, I will modify the code to control leverage. Thank you for your input.

Avi

modified algo of large cap stock

Clone Algorithm
14
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: 593b319a99f8636e57b904fc
There was a runtime error.

I would test on more stocks to really get a feel for your strategy. If these stocks performed well over the time of your backtest, it will have a look-ahead bias. I think this would be something better to test in pipeline. Pipeline is really easy to use and allows you to test over a range of stocks. How did you get your portfolio weights?

I haven't checked out pipline, plan to look into it. To get the weights using portfolio optimizting code by Elliot
in his blog https://elliotnoma.wordpress.com/2013/01/22/construct-a-stock-portfolio-using-r. I got tickers from Finviz screener.