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one of my contest entries

Perhaps of interest to the community.

Clone Algorithm
83
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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: 59388a7d8cb8e26eebaf950f
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5 responses

The tear sheet.

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Grant

Great stuff. Thanks for sharing. Interesting how you make a dictionary of factors and then iterate over those factors. That's a great way to easily have a base algorithm and easily vary the factors. How did it do in the contest?

Hi Dan -

I recently entered it into the contest, so we'll see how it goes. The Q folks had been preaching for awhile about the potential magic of combining factors, so I figured I'd give it a try.

Grant

I meant to say this before (but time sure flies somehow). I feel the forums and the community would do better if more people shared their successes like you have (rather than just the problems). Thank you again for sharing.

I feel the forums and the community would do better if more people shared their successes like you have

Hi Dan -

So have you had any success that you'd be willing to share, either specifically or generally? Are you working to get a fund allocation? Contest entries? Personal capital trading?