running these hedged convexity strategies. much much better. TMF has thes huge drawdowns and too much volatility. the downside is you cant buy options on BUNT and the fund is $15 million assets
Clone Algorithm
97
Backtest from
to
with
initial capital
Cumulative performance:
Algorithm
Benchmark
Custom data:
Total Returns
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Alpha
--
Beta
--
Sharpe
--
Sortino
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Max Drawdown
--
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 |
def initialize(context): context.stocks = { symbol('tqqq'): 40, symbol('bunt'): 56, symbol('edc'): -4 } def handle_data(context, data): if context.portfolio.capital_used == 0: for stock, percent in context.stocks.items(): log.info("ordering %d%% of %s" % (percent, stock.symbol)) order_target_percent(stock, percent/100.)