3 ms·
sticking around for 97% drawdown? Sorry.. doing this in real life would be more stupid than anything
by nolite 14y ago
sticking around for 97% drawdown? Sorry.. doing this in real life would be more stupid than anything
- unreal37 14y agoOne point in the graph shows a -144% return. How do you even get a -144% return? Debt?
- loganfrederick 14y agoShorting is also a possibility.
- dunster 14y agoYeah. This algo is highly leveraged - like 15X. It's possible to really lose your shirt if you trade this algo exactly. Taibo's algo is interesting as a starting point. It's not one that that you just take off the shelf and start trading with. But, you can take it and learn from it and develop an alternative strategy. Presumably one with less risk!
- meson2k 14y agoDunster, any clue if Quantopian supports option trading?
- KMag 14y agoClearly the simulation doesn't take into account forced de-leveraging at significant losses due to margin calls.
- xntrk 14y agoyeah the algo looked like it was just highly leveraged version of the benchmark. The benchmark, which you can get a better look at if you remove the algos chart looks a lot like SPX or some other US index (at least when you eyeball it). I would like to see this run against 2008s market and see what would happen.
- dunster 14y agoThe benchmark on Quantopian is indeed modeled after the S&P 500. How would the algo do in 2008? It's trivial for you to check it yourself. Click the "clone algo" button, change the time range of the test, and click "Run Backtest." Question answered!
- Domenic_S 14y ago> I would like to see this run against 2008s market and see what would happen. Disaster. I'm only in Nov and at -200% return, 88% drawdown. Ouch. Edit: spoke too soon: -453% vs -45.3% bench in nov.
- Hansi 14y agoAgreed, this is just silly.