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CounterTrend MAX in Quantopian and Python

Posted by David Bean on

Last week I showed the results for our latest strategy, CounterTrend MAX in Quantopian, which is programmed in Python. I made a mistake on the testing. The time window that I used was wrong. Here is the code to change it. The # symbol "comments out" a line of code.

Turns out the results for the stock indexes are better than what I showed last week once we correct the code. The Total Return, Sharpe Ratio, and Sortino Ratio all go up.

The special offer for the closed code and open code are here.

Here are the updated results for the E-mini S&P along with the combined results for the E-mini S&P, E-mini Dow, and E-mini Nasdaq traded together.

 Hypothetical Backtest for Quantopian CounterTrend MAX
E-mini S&P

Hypothetical Backtest for Quantopian CounterTrend MAX
E-mini S&P, E-mini Nasdaq, E-mini Dow


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