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Not so bad...

A very simple analysis of the market

Clone Algorithm
213
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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: 55c90a4bf420ca0c6e882a7f
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2 responses

It does do well compared to SP500. It would be nice if Quantopian allowed you a custom benchmark, since the proper benchmark would be equal weight of portfolio.

Have you tried running this prior to the start of the bear market of 2008/2009