speice.io/assets/js/818287cf.09f82d49.js

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"use strict";(self.webpackChunkspeice_io=self.webpackChunkspeice_io||[]).push([["5095"],{2181:function(s,e,n){n.r(e),n.d(e,{assets:function(){return c},contentTitle:function(){return r},default:function(){return d},frontMatter:function(){return l},metadata:function(){return a},toc:function(){return m}});var a=n(1915),t=n(5893),i=n(65);let l={slug:"2015/11/welcome",title:"Welcome, and an algorithm",date:new Date("2015-11-19T12:00:00.000Z"),last_update:{date:new Date("2015-12-05T12:00:00.000Z")},authors:["bspeice"],tags:[]},r=void 0,c={authorsImageUrls:[void 0]},m=[{value:"Trading Competition Optimization",id:"trading-competition-optimization",level:2},{value:"Calculating the Return",id:"calculating-the-return",level:2},{value:"Calculating the Sharpe ratio",id:"calculating-the-sharpe-ratio",level:2},{value:"Calculating the drawdown",id:"calculating-the-drawdown",level:2}];function h(s){let e={a:"a",annotation:"annotation",code:"code",h1:"h1",h2:"h2",hr:"hr",li:"li",math:"math",mfrac:"mfrac",mi:"mi",mn:"mn",mo:"mo",mover:"mover",mrow:"mrow",mstyle:"mstyle",msub:"msub",mtable:"mtable",mtd:"mtd",mtext:"mtext",mtr:"mtr",p:"p",path:"path",pre:"pre",semantics:"semantics",span:"span",strong:"strong",svg:"svg",table:"table",tbody:"tbody",td:"td",th:"th",thead:"thead",tr:"tr",ul:"ul",...(0,i.a)(),...s.components};return(0,t.jsxs)(t.Fragment,{children:[(0,t.jsx)(e.p,{children:"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!"}),"\n",(0,t.jsx)(e.p,{children:"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."}),"\n",(0,t.jsx)(e.p,{children:"The competition is scored in 3 areas:"}),"\n",(0,t.jsxs)(e.ul,{children:["\n",(0,t.jsx)(e.li,{children:"Total return"}),"\n",(0,t.jsx)(e.li,{children:(0,t.jsx)(e.a,{href:"https://en.wikipedia.org/wiki/Sharpe_ratio",children:"Sharpe ratio"})}),"\n",(0,t.jsx)(e.li,{children:"Maximum drawdown"}),"\n"]}),"\n",(0,t.jsx)(e.p,{children:"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."}),"\n",(0,t.jsx)(e.p,{children:"I'll be updating this post with the results of our algorithm as they come along!"}),"\n",(0,t.jsx)(e.hr,{}),"\n",(0,t.jsxs)(e.p,{children:[(0,t.jsx)(e.strong,{children:"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."]}),"\n",(0,t.jsxs)(e.ul,{children:["\n",(0,t.jsx)(e.li,{children:"After week 1: Down .1%"}),"\n",(0,t.jsx)(e.li,{children:"After week 2: Down 1.4%"}),"\n",(0,t.jsx)(e.li,{children:"After week 3: Flat"}),"\n"]}),"\n",(0,t.jsx)(e.p,{children:"And some statistics for all teams participating in the competition:"}),"\n",(0,t.jsxs)(e.table,{children:[(0,t.jsx)(e.thead,{children:(0,t.jsxs)(e.tr,{children:[(0,t.jsx)(e.th,{children:"Statistic"}),(0,t.jsx)(e.th,{children:"Value"})]})}),(0,t.jsxs)(e.tbody,{children:[(0,t.jsxs)(e.tr,{children:[(0,t.jsx)(e.td,{children:"Max Return"}),(0,t.jsx)(e.td,{children:"74.1%"})]}),(0,t.jsxs)(e.tr,{children:[(0,t.jsx)(e.td,{children:"Min Return"}),(0,t.jsx)(e.td,{children:"-97.4%"})]}),(0,t.jsxs)(e.tr,{children:[(0,t.jsx)(e.td,{children:"Average Return"}),(0,t.jsx)(e.td,{children:"-.1%"})]}),(0,t.jsxs)(e.tr,{children:[(0,t.jsx)(e.td,{children:"Std Dev of Returns"}),(0,t.jsx)(e.td,{children:"19.6%"})]})]})]}),"\n",(0,t.jsx)(e.hr,{}),"\n",(0,t.jsx)(e.h2,{id:"trading-competition-optimization",children:"Trading Competition Optimization"}),"\n",(0,t.jsx)(e.p,{children:(0,t.js