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
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 |
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.)
