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Long-short trading or assets allocation trading. Witch one got better results?

Grant's post inspired me to make these tests.

1.Long-short daily trading (borrowing costs not reflected).

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: 57f00bb99fb63b104c3298dc
There was a runtime error.
4 responses

2.Assets allocation daily trading.

Witch one got better results?

Delaney, you are welcome to discuss.

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: 57f004fb4843611049ca4875
There was a runtime error.

Do you know if the Q database adjusts for TLT dividends (or in this case the coupon payments made on the bond)?

Frank,
TLT paying dividends at the beginning of each month.
It is reflected in Q data inline with other data sources but appear slightly later then on my brokerage account:

7:31 AM
TLT
BUY
27
$138.78 $3,747.06 2016-08-05
- Buys $3,737.34 (1 transactions)
7:31 AM
TLT
BUY
27
$138.42 $3,737.34 2016-07-08
- Buys $3,714.65 (1 transactions)
7:31 AM
TLT
BUY
26
$142.87 $3,714.65 2016-06-07
- Buys $3,983.55 (1 transactions)
7:31 AM
TLT
BUY
30
$132.78 $3,983.55 2016-05-06
- Buys $3,787.11 (1 transactions)
7:31 AM
TLT
BUY
29
$130.59 $3,787.11 2016-04-07
- Buys $3,839.89 (1 transactions)
7:31 AM
TLT
BUY
29
$132.41 $3,839.89 2016-03-07
- Buys $3,719.57 (1 transactions)
7:31 AM
TLT
BUY
29
$128.26 $3,719.57

rofl