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MAx drawdown 8% in 2007-2009 period and 235% return in 10yrs

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

1 response

That's the point: sharing and improving together. If you dont want to share your algo why bother us with results we can't read anything from. Just start a Twitter account and spam people who choose to follow this type of nonsense.