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The other two thirds of the year of live trading

Following up to https://www.quantopian.com/posts/a-year-of-live-trading , here are the other two algos I was running during that period. Note that there was evidently some backtest overfitting, despite my best efforts.

8 responses

Analysis of the vol trading algo.

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Vol trading (shorting) algo.

Clone Algorithm
3
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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: 599d48178f16c3560ac0fd1b
There was a runtime error.

Obligatory post text.

Clone Algorithm
5
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: 599d48c144985854e45a6b92
There was a runtime error.

Notebook attempt 2, of the global ETF long-only "momentum" asset allocation.

Hang on give me a minute, it keeps trying to attach the previous notebook. Bloody hell.

There I think I got it. Some sort of caching layer of cell previews preventing the correct attachment. Probably some nosql something or other haha damn.

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Why you don't use the pipeline to get the VIX? Isn't it easier? :-/

I never found pipeline vix reliable nor timely.

What you said is interessting. I used also the fetch_csv() formerly. But QuantOpian told me using the pipeline is much reliable. :-/