cover

Team Quantpedia

Quant

Date Joined

13th May, 2019

Bootcamp progress

29% Complete

Achievements

badge
badge

Algorithm Sharing

Share an algorithm with the community by making your algorithm public.

2021-01-25T11:24:49Z
badge
badge

Backtester

Run at least 100 backtests on QuantConnect's cloud.

2019-07-16T11:44:54Z
badge
badge

Live Trading

Deploy a live trading algorithm using one of QuantConnect's supported brokerages.

2019-10-07T13:40:55Z
badge
badge

Parallel Live Trading

Run multiple live algorithms simultaneously.

2024-04-08T07:01:49Z
badge
badge

Cloner

Clone at least 100 algorithms from the community.

2020-04-22T10:05:05Z
badge
badge

C# Programming

Choose C# as your preferred programming language.

2022-07-04T18:43:25Z
badge
badge

Python Programming

Choose Python as your preferred programming language.

2019-05-13T21:24:29Z
badge
badge

Boot Camp Private

Complete a beginner bootcamp in the algorithm lab.

2020-09-30T17:01:09Z
badge
badge

Boot Camp Corporal

Complete an advanced bootcamp in the algorithm lab.

2020-09-30T15:17:28Z
badge
badge

Alpha Streams Developer

Have at least 1 Alpha Stream submission approved.

2020-05-11T18:38:19Z
  • Profile
  • Backtests
  • Community

Biography

Activity on QuantConnect

This section highlights your contributions and engagement across the QuantConnect platform — including backtests, live trades, published research, and community involvement through comments and threads. It reflects your overall activity as part of the QuantConnect community.

Public Backtests (18111)

View More
030 Timing Commodities and SP500 with COT Report

98.735Net Profit

0.008PSR

0.045Sharpe Ratio

-0.011Alpha

0.253Beta

3.379CAR

27.3Drawdown

47Loss Rate

25Parameters

2Security Types

0.035Sortino Ratio

7543Tradeable Dates

780Trades

0.016Treynor Ratio

53Win Rate

029 Market Timing SP 500 with VIX and COT Report

59.126Net Profit

0.435PSR

-0.227Sharpe Ratio

-0.012Alpha

0.08Beta

2.273CAR

9Drawdown

0Loss Rate

30Parameters

2Security Types

-0.154Sortino Ratio

7543Tradeable Dates

105Trades

-0.088Treynor Ratio

100Win Rate

027 Market Timing with Aggregate and Idiosyncratic Stock Volatilities

32.187Net Profit

0PSR

-0.468Sharpe Ratio

-0.009Alpha

-0.129Beta

1.093CAR

12Drawdown

43Loss Rate

19Parameters

1Security Types

-0.503Sortino Ratio

6451Tradeable Dates

158Trades

0.117Treynor Ratio

57Win Rate

026 Value Book to Market Factor

851.157Net Profit

0.313PSR

0.346Sharpe Ratio

0.061Alpha

-0.188Beta

9.171CAR

59.4Drawdown

49Loss Rate

7Parameters

1Security Types

0.309Sortino Ratio

6451Tradeable Dates

44365Trades

-0.28Treynor Ratio

51Win Rate

025 Size Factor Small Capitalization Stocks Premium

53.944Net Profit

0PSR

-0.097Sharpe Ratio

-0.005Alpha

-0.078Beta

1.695CAR

43.5Drawdown

56Loss Rate

9Parameters

1Security Types

-0.111Sortino Ratio

6451Tradeable Dates

16955Trades

0.103Treynor Ratio

44Win Rate

Community

View More

Team left a comment in the discussion IVW, Daily The issue starts from Oct 19th, 2020; and continues until now

Hi, we've noticed same split issue with DSI etf on 2020-12-07.2:1 split this time. 

4 years ago

030 Timing Commodities and SP500 with COT Report

98.735Net Profit

0.008PSR

0.045Sharpe Ratio

-0.011Alpha

0.253Beta

3.379CAR

27.3Drawdown

47Loss Rate

25Parameters

2Security Types

0.035Sortino Ratio

7543Tradeable Dates

780Trades

0.016Treynor Ratio

53Win Rate

029 Market Timing SP 500 with VIX and COT Report

59.126Net Profit

0.435PSR

-0.227Sharpe Ratio

-0.012Alpha

0.08Beta

2.273CAR

9Drawdown

0Loss Rate

30Parameters

2Security Types

-0.154Sortino Ratio

7543Tradeable Dates

105Trades

-0.088Treynor Ratio

100Win Rate

027 Market Timing with Aggregate and Idiosyncratic Stock Volatilities

32.187Net Profit

0PSR

-0.468Sharpe Ratio

-0.009Alpha

-0.129Beta

1.093CAR

12Drawdown

43Loss Rate

19Parameters

1Security Types

-0.503Sortino Ratio

6451Tradeable Dates

158Trades

0.117Treynor Ratio

57Win Rate

026 Value Book to Market Factor

851.157Net Profit

0.313PSR

0.346Sharpe Ratio

0.061Alpha

-0.188Beta

9.171CAR

59.4Drawdown

49Loss Rate

7Parameters

1Security Types

0.309Sortino Ratio

6451Tradeable Dates

44365Trades

-0.28Treynor Ratio

51Win Rate

025 Size Factor Small Capitalization Stocks Premium

53.944Net Profit

0PSR

-0.097Sharpe Ratio

-0.005Alpha

-0.078Beta

1.695CAR

43.5Drawdown

56Loss Rate

9Parameters

1Security Types

-0.111Sortino Ratio

6451Tradeable Dates

16955Trades

0.103Treynor Ratio

44Win Rate

023 Momentum Effect Combined with Term Structure in Commodities

123.073Net Profit

0.013PSR

0.188Sharpe Ratio

0.05Alpha

-0.076Beta

4.933CAR

51.2Drawdown

46Loss Rate

5Parameters

2Security Types

0.223Sortino Ratio

6082Tradeable Dates

1779Trades

-0.563Treynor Ratio

54Win Rate

022 Term Structure Effect in Commodities

83.563Net Profit

0.007PSR

0.146Sharpe Ratio

0.036Alpha

-0.057Beta

3.712CAR

47.5Drawdown

46Loss Rate

16Parameters

2Security Types

0.171Sortino Ratio

6082Tradeable Dates

1689Trades

-0.547Treynor Ratio

54Win Rate

021 Momentum Effect in Commodities

33.168Net Profit

0PSR

0.032Sharpe Ratio

0.012Alpha

-0.116Beta

1.122CAR

85.1Drawdown

43Loss Rate

11Parameters

1Security Types

0.038Sortino Ratio

9370Tradeable Dates

3244Trades

-0.058Treynor Ratio

57Win Rate

020 Volatility Risk Premium Effect

314.26Net Profit

7.833PSR

0.531Sharpe Ratio

0.004Alpha

0.632Beta

10.963CAR

24.1Drawdown

52Loss Rate

8Parameters

2Security Types

0.427Sortino Ratio

3432Tradeable Dates

900Trades

0.097Treynor Ratio

48Win Rate

019 Dividend Month Anomaly

772.639Net Profit

0.06PSR

0.327Sharpe Ratio

0.011Alpha

0.857Beta

8.805CAR

55.6Drawdown

25Loss Rate

8Parameters

1Security Types

0.338Sortino Ratio

6451Tradeable Dates

56659Trades

0.057Treynor Ratio

75Win Rate

018 Liquidity Effect in Stocks

-11.912Net Profit

0PSR

-0.12Sharpe Ratio

-0.008Alpha

-0.159Beta

-0.612CAR

60.5Drawdown

43Loss Rate

15Parameters

1Security Types

-0.134Sortino Ratio

5195Tradeable Dates

4020Trades

0.109Treynor Ratio

57Win Rate

016 Reversal Effect in International Equity ETFs

-67.64Net Profit

0PSR

-0.288Sharpe Ratio

-0.039Alpha

-0.084Beta

-4.3CAR

81Drawdown

62Loss Rate

9Parameters

1Security Types

-0.318Sortino Ratio

6451Tradeable Dates

99Trades

0.504Treynor Ratio

38Win Rate

015 Momentum Factor Effect in Country Equity Indexes

220.004Net Profit

0PSR

0.142Sharpe Ratio

-0.014Alpha

0.896Beta

4.635CAR

65.4Drawdown

38Loss Rate

8Parameters

1Security Types

0.151Sortino Ratio

6451Tradeable Dates

1489Trades

0.029Treynor Ratio

62Win Rate

014 Momentum Factor Effect in Stocks

-53.115Net Profit

0PSR

-0.111Sharpe Ratio

0Alpha

0Beta

-2.908CAR

86.7Drawdown

47Loss Rate

15Parameters

1Security Types

-0.109Sortino Ratio

6451Tradeable Dates

64505Trades

0Treynor Ratio

53Win Rate

013 Short Term Reversal Effect in Stocks

2991.044Net Profit

0.335PSR

0.478Sharpe Ratio

0.085Alpha

0.232Beta

14.3CAR

58.8Drawdown

55Loss Rate

16Parameters

1Security Types

0.58Sortino Ratio

6451Tradeable Dates

41065Trades

0.411Treynor Ratio

45Win Rate

011 Stock Return Reversal within Industries

45.453Net Profit

0PSR

-0.039Sharpe Ratio

-0.013Alpha

0.183Beta

1.47CAR

49.6Drawdown

55Loss Rate

9Parameters

1Security Types

-0.051Sortino Ratio

6451Tradeable Dates

62370Trades

-0.027Treynor Ratio

45Win Rate

010 Sector Rotation based on Monetary Policy

903.32Net Profit

0.024PSR

0.314Sharpe Ratio

0.007Alpha

0.993Beta

9.031CAR

62.8Drawdown

33Loss Rate

20Parameters

2Security Types

0.329Sortino Ratio

9735Tradeable Dates

87Trades

0.054Treynor Ratio

67Win Rate

009 Currency Value Factor PPP Strategy

24.149Net Profit

0PSR

-0.329Sharpe Ratio

-0.017Alpha

0.029Beta

0.846CAR

39.4Drawdown

41Loss Rate

10Parameters

1Security Types

-0.388Sortino Ratio

9370Tradeable Dates

146Trades

-0.561Treynor Ratio

59Win Rate

008 Currency Momentum Factor

0.077Net Profit

0PSR

-0.312Sharpe Ratio

-0.019Alpha

-0.052Beta

0.003CAR

38.9Drawdown

44Loss Rate

5Parameters

1Security Types

-0.357Sortino Ratio

9370Tradeable Dates

1531Trades

0.402Treynor Ratio

56Win Rate

006 Bond Carry Strategy

70.876Net Profit

0.017PSR

-0.221Sharpe Ratio

-0.008Alpha

-0.007Beta

2.109CAR

14.3Drawdown

23Loss Rate

13Parameters

1Security Types

-0.253Sortino Ratio

9370Tradeable Dates

589Trades

1.128Treynor Ratio

77Win Rate

005 FX Carry Trade

81.179Net Profit

0PSR

-0.053Sharpe Ratio

-0.014Alpha

0.236Beta

2.342CAR

30.8Drawdown

32Loss Rate

16Parameters

1Security Types

-0.055Sortino Ratio

9370Tradeable Dates

1860Trades

-0.017Treynor Ratio

68Win Rate

004 Overnight Anomaly

766.785Net Profit

1.024PSR

0.387Sharpe Ratio

0.02Alpha

0.34Beta

8.118CAR

35.3Drawdown

45Loss Rate

8Parameters

1Security Types

0.347Sortino Ratio

6955Tradeable Dates

13909Trades

0.11Treynor Ratio

55Win Rate

003 Sector Momentum Rotational System

582.189Net Profit

0.034PSR

0.288Sharpe Ratio

0.01Alpha

0.68Beta

7.767CAR

46.3Drawdown

25Loss Rate

6Parameters

1Security Types

0.277Sortino Ratio

6451Tradeable Dates

640Trades

0.059Treynor Ratio

75Win Rate

002 Momentum Asset Allocation Strategy

383.301Net Profit

0.044PSR

0.244Sharpe Ratio

0.004Alpha

0.512Beta

6.33CAR

47.9Drawdown

12Loss Rate

7Parameters

1Security Types

0.23Sortino Ratio

6451Tradeable Dates

687Trades

0.051Treynor Ratio

88Win Rate

001 Asset Class Trend Following

361.423Net Profit

0.046PSR

0.236Sharpe Ratio

0.011Alpha

0.31Beta

6.138CAR

29.4Drawdown

15Loss Rate

7Parameters

1Security Types

0.233Sortino Ratio

6451Tradeable Dates

951Trades

0.079Treynor Ratio

85Win Rate

Dispersion less info logs

18.951Net Profit

9.504PSR

-0.089Sharpe Ratio

-0.019Alpha

0.299Beta

4.863CAR

18.7Drawdown

57Loss Rate

7Parameters

4Security Types

-0.089Sortino Ratio

915Tradeable Dates

4045Trades

-0.025Treynor Ratio

43Win Rate

Dispersion detailed

18.951Net Profit

9.504PSR

-0.089Sharpe Ratio

-0.019Alpha

0.299Beta

4.863CAR

18.7Drawdown

57Loss Rate

7Parameters

4Security Types

-0.089Sortino Ratio

915Tradeable Dates

4045Trades

-0.025Treynor Ratio

43Win Rate

old version, 1M resolution, vix filter

231.519Net Profit

0.008PSR

0.149Sharpe Ratio

0.005Alpha

0.219Beta

4.782CAR

28Drawdown

31Loss Rate

37Parameters

2Security Types

0.139Sortino Ratio

6448Tradeable Dates

1119Trades

0.066Treynor Ratio

69Win Rate

VIX filter

761.289Net Profit

32.152PSR

0.804Sharpe Ratio

0.09Alpha

0.26Beta

18.118CAR

29.4Drawdown

47Loss Rate

21Parameters

2Security Types

0.93Sortino Ratio

3249Tradeable Dates

20046Trades

0.43Treynor Ratio

53Win Rate

original

718.602Net Profit

15.756PSR

0.686Sharpe Ratio

0.07Alpha

0.502Beta

17.654CAR

45.7Drawdown

47Loss Rate

17Parameters

1Security Types

0.696Sortino Ratio

3249Tradeable Dates

21090Trades

0.225Treynor Ratio

53Win Rate

Team left a comment in the discussion IVW, Daily The issue starts from Oct 19th, 2020; and continues until now

Hi, we've noticed same split issue with DSI etf on 2020-12-07.2:1 split this time. 

4 years ago

QuantConnect™ 2025. All Rights Reserved

Technology

Company