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174 lines
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HTML
174 lines
6.4 KiB
HTML
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<title>Welcome, and an algorithm - Bradlee Speice</title>
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<a class="pull-left" href="/"><img class="mr20" src="/images/logo.svg" alt="logo">Bradlee Speice</a>
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<h1 class="header-title">Welcome, and an algorithm</h1>
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<p class="header-date"> <a href="/author/bradlee-speice.html">Bradlee Speice</a>, Thu 19 November 2015, Sat 05 December 2015, <a href="/category/blog.html">Blog</a></p>
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<a href="/tag/introduction.html">introduction</a>, <a href="/tag/trading.html">trading</a> </p>
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<p>Hello! Glad to meet you. I'm currently a student at Columbia University
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studying Financial Engineering, and want to give an overview of the projects
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I'm working on!</p>
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<p>To start things off, Columbia has been hosting a trading competition that
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myself and another partner are competing in. I'm including a notebook of the
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algorithm that we're using, just to give a simple overview of a miniature
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algorithm.</p>
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<p>The competition is scored in 3 areas:</p>
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<ul>
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<li>Total return</li>
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<li><a href="1">Sharpe ratio</a></li>
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<li>Maximum drawdown</li>
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</ul>
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<p>Our algorithm uses a basic momentum strategy: in the given list of potential
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portfolios, pick the stocks that have been performing well in the past 30
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days. Then, optimize for return subject to the drawdown being below a specific
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level. We didn't include the Sharpe ratio as a constraint, mostly because
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we were a bit late entering the competition.</p>
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<p>I'll be updating this post with the results of our algorithm as they come along!</p>
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<hr>
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<p><strong>UPDATE 12/5/2015</strong>: Now that the competition has ended, I wanted to update
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how the algorithm performed. Unfortunately, it didn't do very well. I'm planning
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to make some tweaks over the coming weeks, and do another forward test in January.</p>
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<ul>
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<li>After week 1: Down .1%</li>
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<li>After week 2: Down 1.4%</li>
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<li>After week 3: Flat</li>
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</ul>
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<p>And some statistics for all teams participating in the competition:</p>
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<table>
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<thead>
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<th></th>
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<th></th>
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</thead>
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<tbody>
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<tr>
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<td>Max Return</td>
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<td>74.1%</td>
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</tr>
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<tr>
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<td>Min Return</td>
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<td>-97.4%</td>
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</tr>
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<tr>
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<td>Average Return</td>
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<td>-.1%</td>
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</tr>
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<tr>
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<td>Std Dev of Returns</td>
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<td>19.6%</td>
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</tr>
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</tbody>
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</table>
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<hr>
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<p>{% notebook 2015-11-14-welcome.ipynb %}</p>
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