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OLMAR Backtest Results

Looks promising. I am concerned about the volatility this algorithm maintains. I will investigate the effects of varying the eps parameter. It appears you are allowing the algorithm to pull some money out of the market if it detects poor performance correct?

Clone Algorithm
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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: 55ac6da93db7550c649e81c9
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1 response

This algorithm has been extensively discussed on the forum. Please look at this https://www.quantopian.com/posts/comparing-olps-algorithms-olmar-up-et-al-dot-on-etfs