Got funding for Algo Trade

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Got funding for Algo Trade

posted Jun 16, 2015

Hi please look the algo backtesting results given below:

Winning Rate 0.82
Losing Rate 0.18
Avg Profit/Trade $12,627.81
Avg Loss/Trade $723.88
Avg Return/Trade (%) 4.68
Sharpe Ratio 1.40
Total Volume Traded 53,500
Total Trades 34
Max Drawdown (%) 3.55
Max Drawdown Duration 6 days
Initial investment : 1 mn USD
profit : $202366.77
return on investment :20.23%
time duration: Jun 02, 2014 @ 18:30 - Jun 16, 2015 @ 00:30

if anyone want to use my algo,just email me [email protected]

15 responses

I'd be interested in seeing what you put together here. Make it shared?

Your post's heading says "Got funding". Shouldn't that be "Need funding" ?
Also, you need about 300 trades before you can claim these performance stats as stable.
Given your trading frequency, that would require another 10 YEARS of testing.

These aren't terribly impressive results. Also this a community for collaboration, not advertising :)

Michael Alfonso

Need a little longer than 14 days to have anything viable, yet alone advertise.

No no got funding from private investor ,not from quantopian

Sharpe ration 1.4? check our top quants in the competition we all have sharpe above 20

@Lucas Silva and rest of the thing like return on investment ,winning rate etc ?

The % win rate is of little concern.
The magnitude of the wins and losses are more important, but since you've not tested 2007-2009, its not clear if you're just benefiting from the recent ongoing bull market.
What does it trade?
What does your algo do if the drawdown exceeds 10%?

@Rohit Datta, Just curious to know, why don't you share publicly here?

@Anin Dhadhur ,,i got funding from private investor ,not from Quantopian,,i share my posts if i get valued reviews or suggestion of my algo

Simon Thornington

It's great that you got funded, good luck.

@James JAck ,,19oct2007-20feb 2009 index gives -50% return my algo giving -18% return during that period.

As lots of quantopian gives their valuable comments,I have also backtested the algo for 10yrs data and i really want to see how the algo is working on the 2007-2009 downturn ,i have modified some parts so here is the latest result:

Winning Rate 0.56
Losing Rate 0.43
Avg Profit/Trade $8,514.35
Avg Loss/Trade $5,107.86
Avg Return/Trade (%) 0.73
Sharpe Ratio 1.55
Total Volume Traded 19,710,200
Total Trades 1,384
Max Drawdown (%) 8.04
Max Drawdown Duration 441 days

Investment = 1mn USD
Profit= 2.35 mn USD
return on investment = 235%
time period = Jun 01, 2005 @ 09:30 - Jun 19, 2015 @ 09:30

As the algo is good in terms of return and minimum drawdown,,when in 2008 market witness a 40-50 index down ,it downs only 8% and profit 235% in 10 yrs i think not bad,only sharpe ratio is 1.55

Simon Thornington

Please share your algo! Thanks!

@Simon He won't. Even after I asked for the same through email, as he mentioned above. This thread should be removed.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.