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The King Forgot His Shorts

This is dedicated to Naor Porat in response to his request in the thread The Gold King And His Knights.
I think this will work for IB.

Clone Algorithm
116
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
--
Sortino
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Max Drawdown
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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
# Backtest ID: 57df7c61259ddf103d84f9f6
There was a runtime error.
10 responses

Thanks a lot Charles! You're unbelievable!
That looks promising, but when backtesting from 2014 it is simply stops making its good output...

In addition, now the DD has become more than 50%! Any reason for that?...

Clone Algorithm
0
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: 57dfb587d4d076102cd0aebc
There was a runtime error.

IBers, E N J O Y !!!

Clone Algorithm
116
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: 57e0b912b3c65610323899c2
There was a runtime error.

Fantastic mate!

The price filter seemed to be broken. It is fixed now, as far as I know.
I am live trading the Robin Hood Throws A Party version of this.

Clone Algorithm
116
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: 57e17e67f6691f103134d082
There was a runtime error.

Any results?

Is this algo supposed to short stocks as well. i am trading this algo in my IB account for the last few days and noticed that i have one short position .

So Charles, which is the most recent IB modified algorithm ?

I have never shorted a stock in my life. So I have no personal experience shorting stocks.

I also only have Robinhood broker account, not Interactive Brokers. So I have no experience with IB, other than I expect to eventually get an account, because my research indicates they are the best, or darn close to it.

Yes, this algo shorts stocks.

Because I do not use IB and Robinhood does not allow shorting of stocks, I do not personally test shorting in live trading. So, all I have is what you and others say your experiences are with it in IB.

This verion of the algo is the only one that I have done that shorts stocks. Admittedly it prefers long to short, and ends up with much more long than short.

If, anybody here that has IB, wants to basically take over tweaking this algo, that may be for the best, since I do not have IB.

@Charles - are you still live trading this? Curious about your results. In my backtest of this, I noticed a lot of low prices stocks and/or low volume stocks.... and the algo version I saw had no commissions or slippage assumptions... is this still the case? It appears that adding those items significantly reduces performance, although it holds up rather well in backtesting on market drops, perhaps because those drops haven't been for long time periods... anyway, I'd love to know your experience till now in the live environment and if you've tweaked it further since last posting your code, thanks.

Long story short. I use Robinhood broker and they don't currently allow shorting. This algo was done for a special request for somebody that requested an algo that does shorting.

The algo that I use is my current one at https://www.quantopian.com/posts/robin-hood-extreme-vetting
It does not do shorting. If you want it to short, you will need to code that yourself.