Giter Site home page Giter Site logo

yfiua / quant-machine-sp500 Goto Github PK

View Code? Open in Web Editor NEW
3.0 2.0 0.0 492 KB

Quant machine for S&P 500 (Annualized return: 20.60%; Sharpe ratio: 1.06; Sortino ratio: 2.05; Calmar ratio: 1.05)

Home Page: https://yfiua.github.io/quant-machine-sp500/

License: Apache License 2.0

HTML 98.46% Python 1.54%
quant sp500 stock-market algorithmic-trading backtest

quant-machine-sp500's Introduction

quant-machine-sp500

Performance demonstration of S&P500 quant machine (English)

As of 2023-11 we stop updating as the existing model is outdated. A new model is on the way!

Backtest

Backtest is carried out from 2011.01 to 2023.02 (inclusive). Summary of the result:

  • Annualized return: 20.60%
  • Sharpe ratio: 1.06
  • Sortino ratio: 2.05
  • Calmar ratio: 1.05

Sharpe ratio and Sortino ratio are calculated with risk-free return 0 and geometric means (slightly more conservative than with arithmetic means) based on monthly performance.

Related

Quant machine for CSI 300 (WeChat account needed):

CSI 300

Recommend Projects

  • React photo React

    A declarative, efficient, and flexible JavaScript library for building user interfaces.

  • Vue.js photo Vue.js

    🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.

  • Typescript photo Typescript

    TypeScript is a superset of JavaScript that compiles to clean JavaScript output.

  • TensorFlow photo TensorFlow

    An Open Source Machine Learning Framework for Everyone

  • Django photo Django

    The Web framework for perfectionists with deadlines.

  • D3 photo D3

    Bring data to life with SVG, Canvas and HTML. 📊📈🎉

Recommend Topics

  • javascript

    JavaScript (JS) is a lightweight interpreted programming language with first-class functions.

  • web

    Some thing interesting about web. New door for the world.

  • server

    A server is a program made to process requests and deliver data to clients.

  • Machine learning

    Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.

  • Game

    Some thing interesting about game, make everyone happy.

Recommend Org

  • Facebook photo Facebook

    We are working to build community through open source technology. NB: members must have two-factor auth.

  • Microsoft photo Microsoft

    Open source projects and samples from Microsoft.

  • Google photo Google

    Google ❤️ Open Source for everyone.

  • D3 photo D3

    Data-Driven Documents codes.