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PC1 acceleration

Acceleration of factor vs. returns.

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: 59054ea6445d20450fb00904
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3 responses

Nice algo, Pravin. First time I saw the use of principal components with that perspective. Have you thought about using more than one? The algo does not have a good performance in 2014 for example, do you have any idea why? What is your thought for further development?

@Roberto, I haven't tried using more than one PC factor. This was just an experiment and I think has to be clubbed with other signals to get meaningful results.

@Pravin , can you explain a bit about what you are doing in the algo?