I am still very sceptical that algorithms can beat market index on a long run. I am yet to find an algorithm that consistently beats the market (in bull and bear periods). This particular algorithm which uses mean reversion lost more than 60% since January 2015. Any clues how parameters in this algorithm can be tweeked to better the performance.
its actually really easy to beat the market with different value/growth strategies. mix that with the mantra 'switch to tlt' and you can double the market or more over time
however, i totally agree if you are trying low beta/uncorrelated/high frequency/zscore stuff
Hi Tyler, many thanks for your quick reply. Is there any algorithm on quantopian that does what you mentioned? I can clone that and test. Also I noticed that I used an initial capital of 10k. I get +60% if I use a 100k capital and +50k if I use 50k capital. I guess it has to do with the high price stocks that were part of the selection basket for the algo.
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