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long-short market neutral mean reversion

Thought this might have some entertainment value.

Note:

    set_slippage(slippage.FixedSlippage(spread=0.00))  
    set_commission(commission.PerShare(cost=0, min_trade_cost=0))  
Clone Algorithm
100
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: 58cbb7e3cb3f601cbf83376e
There was a runtime error.
1 response

Here's an update, with the standard slippage and commission applied (not turned off as above), and with a constraint on the turnover. The number of stocks in the universe was increased to 200, as well.

Still a work-in-progress, but I thought I'd share it, in light of Rob Reider's post and the implicit interest by Quantopian in such factors.

Clone Algorithm
100
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: 58cd615fa9b9a747f8700474
There was a runtime error.