Hi Quantopian Community,
I am Stephanie, a director of Portfolio Analytics at PortfolioEffect and I’m excited to share some of what we do. We use high frequency market data to calculate intraday or end of day risk metrics. This involves a new methodology for the calculation of risk that was developed through 5 years of research. The result is more accurate risks estimators. We offer data on volatility and risk factors for 8,000+ financial instruments, including stocks, stock indices and ETFs.
To illustrate the potential utility of our data, we’ve built a sample algorithm that uses it. Using the end of day Sharpe ratio calculated by PortfolioEffect, we compare the end of day Sharpe ratio for the last day to the Sharpe ratio for a 1 week window length on 10 stocks: 'IBM','GOOG','C','F','GM','GE','AAPL','AMZN','CSCO','GS' since 01/04/2013.
By 1 week window length, it means the window length for calculating the metric is 1 week. Weekly Sharpe ratio is calculated on 5 days windows length. Therefore, we look at the Sharpe ratio of the daily vs weekly rate. If the daily Sharpe ratio is greater than the weekly Sharpe ratio, we take a long position, otherwise a short one. At each step of the algo, we buy and sell. For example, we have 8 shares to buy and 2 shares to sale, we buy each share with a quantity of 150% / 8 = 18.75% and sell up to 50% / 2 = 25% of the portfolio. We are creating a changing portfolio containing long and short positions at any given time.
In summary, we buy stocks with good Sharpe ratio through the sale of shares with poor Sharpe ratio.
Take a look at the attached backtest. We would love to hear your thoughts about the algo and the potential uses of the data.
For more information on the data, please feel free to contact Andrei or Steph directly at [email protected]
|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|