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Title: Welcome, and an algorithm Date: 2015-11-19 Tags: introduction, trading Modified: 2015-12-05 Category: Blog
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:
| Max Return | 74.1% |
| Min Return | -97.4% |
| Average Return | -.1% |
| Std Dev of Returns | 19.6% |
{% notebook 2015-11-14-welcome.ipynb %}