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Princeton Quant Trading Conference Workshop

For workshop use only, please.

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10 responses

Sample algorithm.

Clone Algorithm
104
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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: 5713c3d9597e9c0f425a81ff
There was a runtime error.

Thanks for the lecture!

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attached notebook

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Partners: Alan Du, Eric Schneider, Nick Chow, DoWon Kim

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Team members: Wenjing Wu, Vibrant Vibrant, Taisiia Tsvilyniuk

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Team : Andr, Ching-Che Chiang Nick Butler Stephen Friel

Clone Algorithm
11
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: 5713edf35dfa62108b9ede59
There was a runtime error.

andre-louis rochet ^^^(instead of andre)

Thanks,

Polina Kanel and Aurele Galle

BT=get_backtest('5717d4975e4d5f0f3ad61751')

Notebook

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Congratulations to the winners, I will be reaching out directly with information about prizes.

1st Aurele Galle - For an interesting idea with low beta, more data would be nice to see how it performs on a longer time frame.
2nd Jinal Patel, Alan Du, Eric Schneider, Nick Chow, DoWon Kim - The beta is volatile, but the sharpe is consistently above 0, which is good.
3rd Zhe Liu - Your equity curve looks interesting, I'd be curious to see this strategy applied to more assets.