Was there a significant event during this period? All of my algorithms have a drawdown of 3-4% during this period and I was wondering if anyone else noticed it?
I generally see the first quarter of 2016 doing well in the majority of my strategies.
A couple of thoughts... the Fall of 2015 was a downturn in the market ( it's included as one of the benchmark periods in Pyfolio). Maybe some code is looking back to that time through long term moving averages or other technicals. Big change from fall of 2015 to spring of 2016. That may be impacting the 2016 positions and therefore returns. Another thought, the market was up during the first quarter of 2016, if the portfolio has a high concentration of shorts (perhaps because of logic alluded to above) then those shorts could be what's causing the drawdown.
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
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.