Backtest 38 for algorithm: OLMAR 3SC
From: 2008-01-01
To: 2014-01-01
Initial capital: $5,800
Started: 2014-03-05 11:23:44 AM
Finished: 2014-03-05 11:57:56 AM
Data frequency: Minute
Total Returns 661.6%
Alpha 0.32
Max Drawdown 25.9% Check the next post
Backtest 51 for algorithm: OLMAR 3SC
The same code, same period: different Max Drawdown, Returns and Alpha
From: 2008-01-01
To: 2014-01-01
Initial capital: $5,800
Started: 2014-03-12 04:07:42 PM
Finished: 2014-03-12 04:39:38 PM
Data frequency: Minute
// Different metrics
Total Returns 668.2%
Alpha 0.33
Max Drawdown 55.6% This algo is base on:
https://www.quantopian.com/posts/olmar-3-dot-0-using-new-order-and-history-features
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