mirror of
https://github.com/bspeice/speice.io
synced 2024-11-15 14:38:10 -05:00
60 lines
1.9 KiB
Markdown
60 lines
1.9 KiB
Markdown
|
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](1)
|
||
|
|
- 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 %}
|
||
|
|
|
||
|
|
<script type="text/x-mathjax-config">
|
||
|
|
MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\(','\)']]}});
|
||
|
|
</script>
|
||
|
|
<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
|
||
|
|
|
||
|
|
[1]: https://en.wikipedia.org/wiki/Sharpe_ratio
|