---
title: Welcome, and an algorithm
date: 2015-11-19
last_update:
    date: 2015-12-05
slug: 2015/11/welcome
authors: [bspeice]
tags: [trading]
---

import Notebook from './_notebook.md'

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!

<!-- truncate -->

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](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.

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:

<table>
    <tr>
        <td>Max Return</td>
        <td>74.1%</td>
    </tr>
    <tr>
        <td>Min Return</td>
        <td>-97.4%</td>
    </tr>
    <tr>
        <td>Average Return</td>
        <td>-.1%</td>
    </tr>
    <tr>
        <td>Std Dev of Returns</td>
        <td>19.6%</td>
    </tr>
</table>

---

<Notebook/>