I need help with minimizing the max dropdown and the beta.
does antone have suggestions?
help minimizing max drawdown and beta
Usually when you see algorithms that generate ridiculous returns like yours, the first thought turns to leverage, however when you are buying Apple you can get ridiculous returns with out over leveraging yourself! That being said I did check your leverage and it isn't running away. If you want to reduce drawdown and beta I would suggest moving away from buying and selling AAPL and SPY exclusively. This is why folks diversify their portfolios, to reduce the risk brought on by carrying a few stocks. Check out some other strategies involving multiple securities.
See the sample algorithms for ones that use multiple securities.
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You may also want to make sure your max position size is equal to your minimum to avoid directional bias
I think the question should be, what is your goal/strategy here overall. The return looks great, but the real answer is that you have just dampened the actual return of Apple over that time frame (which was about 7500% or so). You certainly got your result with a much lower beta, but think you should consider trying to accentuate your strategy more specifically.
Just a thought, take it or leave it :).
Cheers
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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.