This is my first algorithm for trading. It is giving less returns(80% over 10 years) than the benchmark SPY(106% over 10 years). I am curious if this is good, bad or ugly. In general, what return a trade algorithm should give compared to benchmark SPY, to be called as a good trading algo.
There's a youtube video on the Q-Fund which reviews statistics regarding "idealized" strategy returns. Search "quantopian fund" on youtube.
See the last message in this post: https://www.quantopian.com/posts/quantopian-managers-program-algorithm-selection-and-compensation
You want to beat the average hedgefund manager? Return > 0% every year for the last 10.
You want to beat the top 2% of hedgefund mangers? Return > 10% every year for the last 10.
You want to do so with reduced risk? Shoot for a rolling Sharpe Ratio > 1.0.
You want to ensure you don't blow up your account it in a blackswan event? Shoot for < 10% drawdowns over the life of your test.
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