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Long Price Action Algo

I couldn't successfully hedge this one and it doesn't pass beta so I figured I'd share in case someone can improve on it.

Stocks were randomly chosen

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: 55f6e75c3107830e0b3f57c0
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2 responses

Chris, I thought it would be interesting to take your algorithm and run it through the tearsheet to analyze the behavior. This is powered by Pyfolio, our open-sourced library to evaluate an algorithm.

If you want to use it in your algorithm then take the backtest ID (it's available at the top of your source code in this post) or from the URL:

A few things that caught my eye:

  • You're right that the hedge isn't quite balanced. Take a look at this exposure chart:

  • And this causes a high beta-to-spy, reaching a value around 2.5 in the backtest

  • In 2012, the algo had a 37% drawdown. Ouch!

If you keep iterating on the algo, I'd suggest to try running your strategy through the tearsheet to monitor the behavior. If you're not familiar with it, here's a tutorial:

Good luck!


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thanks Alisa, this gives some helpful insight. I like how Pyfolio can identify the top performers.

I created a short version of this strategy however it only performed well on the inverse ETFs but tanks otherwise. I'll keep hacking away.