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Limits, my latest creation.
Warren Harding
edited

Here's a tear sheet. This is not a contest algo, though I'm working on that. It's low capacity, I'm just testing with a $100,000 for now. I'll be testing and tuning for larger sums soon. It does not reinvest profits, it is designed to just trade $100,000 and generate profit that could then be spent or reinvested elsewhere. So the annual returns figure should be ignored. Turnover is high but it uses limit orders so there's no slippage. Thanks for the interest.

Start date 2013-10-04
End date 2018-10-02
Total months 59
Backtest
Annual return 61.2%
Cumulative returns 983.2%
Annual volatility 9.6%
Sharpe ratio 5.05
Calmar ratio 8.47
Stability 0.94
Max drawdown -7.2%
Omega ratio 2.78
Sortino ratio 9.71
Skew 0.76
Kurtosis 10.08
Tail ratio 1.94
Daily value at risk -1.0%
Gross leverage 0.01
Daily turnover inf%
Alpha 0.48
Beta 0.02

Regards,
Warren

2 responses
Joakim Arvidsson (Cream Mongoose)

Well done! Would be interesting to see a tearsheet with the option (round_trips=True).

Warren Harding

Thanks, Joakim! I tried generating a full tear sheet with round_trips=True but get this:

UserWarning: Detected intraday strategy; inferring positions from transactions. Set estimate_intraday=False to disable.

Then the tear sheet hangs. I made a few attempts but can't get a full tear sheet or a round trips tear sheet.

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