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long-short multi-equity algo

Here's an example perhaps of interest. One thought would be to see if this could be applied to it:

https://www.quantopian.com/posts/machine-learning-on-quantopian-part-3-building-an-algorithm

Clone Algorithm
29
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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: 593e599765756169fca1e9c2
There was a runtime error.
1 response

Here's the same backtest, but with:

    set_commission(commission.PerShare(cost=0.0, min_trade_cost=0))  
    set_slippage(slippage.VolumeShareSlippage(volume_limit=1, price_impact=0))  

I've been able to run a backtest back to 2010 (reportedly the time frame typically used for evaluating Q fund algos). It looks pretty good, but is a pig that can't be loaded onto the forum, and into the research platform. I'm working with Q support to understand why.

One curiosity is what a hedge fund is supposed to do in the first place, for its customers. Presumably, when the market (SPY) gets choppy, the hedge fund portion of an overall investment portfolio should smooth out the returns. But when there is a bull market, then flat returns on the hedge would be o.k., since it is a hedge against the inherent volatility of the market (and perhaps if one tries too hard to get the hedge returns up during a bull market, it is self-defeating).

Feedback and improvements welcome. As I mentioned above, I'm particularly curious if the alpha combination can be improved, with ML or otherwise.

Clone Algorithm
29
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: 593fa9d7f7b0ad51c2a03c19
There was a runtime error.