Back to Community
Protip: replace TMF with BUNT when

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
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
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.)
There was a runtime error.
1 response

Out of curiosity, how do you pick the percentages? I guess you may want to rebalance them over time