Welcome, and an algorithm

Hello! Glad to meet you. I'm currently a student at Columbia University studying Financial Engineering, and want to give an overview of the projects I'm working on!

To start things off, Columbia has been hosting a trading competition that myself and another partner are competing in. I'm including a notebook of the algorithm that we're using, just to give a simple overview of a miniature algorithm.

The competition is scored in 3 areas:

• Total return
• Sharpe ratio
• Maximum drawdown

Our algorithm uses a basic momentum strategy: in the given list of potential portfolios, pick the stocks that have been performing well in the past 30 days. Then, optimize for return subject to the drawdown being below a specific level. We didn't include the Sharpe ratio as a constraint, mostly because we were a bit late entering the competition.

I'll be updating this post with the results of our algorithm as they come along!

UPDATE 12/5/2015: Now that the competition has ended, I wanted to update how the algorithm performed. Unfortunately, it didn't do very well. I'm planning to make some tweaks over the coming weeks, and do another forward test in January.

• After week 1: Down .1%
• After week 2: Down 1.4%
• After week 3: Flat

And some statistics for all teams participating in the competition:

{% notebook 2015-11-14-welcome.ipynb %}