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long-short market neutral w/ CVXPY optimization

Return ain't so hot, but it does seem to do the hedge-o-matic dance, skipping right over the big market dips. Perhaps someone wants to play around with it, to see if it can be improved.

Clone Algorithm
77
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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: 58e572c062685365e06d6c6d
There was a runtime error.
1 response

That profit blip on 24Aug2015 caught my eye as there was a flash-crash that day :

http://www.investopedia.com/articles/investing/011116/two-biggest-flash-crashes-2015.asp

Looks like the algo was able to go big long on RSP (GUGGENHEIM S&P 500 EQUAL WEIGHT ETF) on 24Aug2015 at 9:49 AM at $50.07 (previous close in high 70s) and then selling it the next day at $74.56 .

Assuming the print and fill are both good, for sure this algo took big advantage of a buying op. Attached backtest just zooms in a bit for that period.

Richard

Clone Algorithm
2
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: 58e670c5083df364cf989c13
There was a runtime error.