My algo dropped but sharpe went up today? How is that possible?

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My algo dropped but sharpe went up today? How is that possible?

posted Jun 29, 2015

Hi,

My strategy in the contest, had a sharpe of 2.395 (Friday last week) and returns of 1.75%. This morning I checked my performance live just now and the sharpe went up to 2.58 while my algo returns dropped to 0.9%.

How is that possible? Is it because treasury yields tumbled today?

6 responses

Also cash from profits I booked disappeared? huh?!

Why doesn't quantopian allow users to export orders and fills from paper trading algorithms to excel? This is a very useful feature for us to analyze our algorithms. At the moment I am manually copying each transaction by hand and very tired :(

I should probably mention that there hasn't been a single trade since Friday if that helps you debug the issue. You are free to take a look at the algorithm as well if that helps.

I think I cracked it. I am short an ETF that pays dividend today. Please confirm if that is the reason.

Spencer Singleton

I noticed something similar in one of my live algos today so I believe it may be the dividend causing the weird Sharpe increase.

Where can I see the dividend payments? The paper trading is really opaque and on top of it you cannot download the transactions to excel. I will have to spend hours trying to reconcile this and find out if the dividends my algo should have received have already been added to P/L.

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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.