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n00b01

just test

Clone Algorithm
2
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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: 5a206770f31d85407bdabe1b
There was a runtime error.
3 responses

That is some oooooold code. Like 2012.

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yes, sorry I'm just starting in this 'black magic'. anyway - is this but that this algo has over 1k% performance ? I don't think that it could be real ...

You're right, it's not a real-world algorithm. It has three huge problems.

  1. It uses unlimited leverage. I added some leverage logging code, and you can see it leverages more than 200X.
  2. It has hindsight bias. Everyone knows that Apple is a huge winner over the last 15 years. But 15 years ago, it wasn't so obvious.
  3. It's overfit. This algorithm was written to look good over backtest, and doesn't have any real way of predicting the future.
Clone Algorithm
0
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: 5a207e04781b4940948b43f6
There was a runtime error.