Measuring Up

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KenC
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Measuring Up

Post by KenC » Tue Jul 04, 2017 2:29 pm

Hi, folks,

To see how your mechanical system fares in the world of quant analysis, there's a relatively painless method available:
https://github.com/quantopian/pyfolio
PyfolioHeader.jpg
PyfolioHeader.jpg (78.28 KiB) Viewed 13088 times

It requires installing Python, but once the input file format is handled, producing a detailed statistical report is fast.

Attached is an example of the complete output, including graphics.
2013-2016 BackTest.pdf
(445.24 KiB) Downloaded 698 times

Good trading to you all,
Ken

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earik
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Re: Measuring Up

Post by earik » Thu Jul 13, 2017 9:08 pm

Nice system, Ken. 50% annual return with only 4% drawdown is insane... (In a good way)

Regards,

Earik

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