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Bradlee Speice
2024-11-09 20:23:31 -05:00
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blog/2015-11-14-welcome/index.mdx
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---
slug: 2015/11/welcome
title: Welcome, and an algorithm
date: 2015-11-19 12:00:00
last_update:
date: 2015-12-05 12:00:00
slug: 2015/11/welcome
authors: [bspeice]
tags: [trading]
tags: []
---
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!
@ -17,7 +17,7 @@ To start things off, Columbia has been hosting a trading competition that myself
The competition is scored in 3 areas:
- Total return
- [Sharpe ratio](1)
- [Sharpe ratio](https://en.wikipedia.org/wiki/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.