A trading bot utilized on the TD Ameritrade platform written in python and utilizing tda-api API. Bot originally discovered, tweaked, and backtested on Quantopian.
We utilized Dual Momentum Strategy which focuses on weighted momentum based on the previous 1, 3, and 6 months. Portfolio rebalance happens bi-monthly. Risk lies in having entire portfolio within one stock and huge drawdown. However, since we would have held long term without rebalance, we would have expected similar drawdowns.
Since our plan is to hold stocks we find value in long term, we decided to implement a momentum based strategy that would alternate between stocks that we would have held long term regardless. Since this backtest also shows tremendous spikes from Tesla and AMD, future results may not show as promising returns. Regardless, we find value in these companies and would have held them long term.
| Start date | 2014-01-03 | |
|---|---|---|
| End date | 2020-09-11 | |
| Total months | 80 | |
| Backtest | ||
| Annual return | 93.96% | |
| Cumulative returns | 8290.412% | |
| Annual volatility | 57.039% | |
| Sharpe ratio | 1.44 | |
| Calmar ratio | 1.61 | |
| Stability | 0.94 | |
| Max drawdown | -58.344% | |
| Omega ratio | 1.34 | |
| Sortino ratio | 2.31 | |
| Skew | 1.49 | |
| Kurtosis | 26.22 | |
| Tail ratio | 1.27 | |
| Daily value at risk | -6.86% | |
| Gross leverage | 0.94 | |
| Daily turnover | 3.74% | |
| Alpha | 0.67 | |
| Beta | 0.60 | |
| Worst drawdown periods | Net drawdown in % | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|---|
| 0 | 58.34 | 2020-02-19 | 2020-03-18 | 2020-06-08 | 79 |
| 1 | 46.41 | 2018-09-14 | 2018-10-29 | 2019-12-23 | 332 |
| 2 | 39.84 | 2015-12-29 | 2016-02-09 | 2016-04-22 | 84 |
| 3 | 32.36 | 2017-02-27 | 2017-05-08 | 2018-01-26 | 240 |
| 4 | 32.10 | 2020-08-31 | 2020-09-08 | NaT | NaN |
| Stress Events | mean | min | max |
|---|---|---|---|
| Apr14 | -0.01% | -5.57% | 5.81% |
| Oct14 | 0.29% | -1.46% | 2.56% |
| Fall2015 | -0.08% | -5.89% | 6.89% |
| New Normal | 0.33% | -23.15% | 50.11% |
| Top 10 long positions of all time | max |
|---|---|
| AMD-351 | 96.52% |
| TSLA-39840 | 96.41% |
| AMZN-16841 | 95.73% |
| SPXL-37514 | 95.46% |
| AAPL-24 | 95.15% |
| Top 10 short positions of all time | max |
|---|
| Top 10 positions of all time | max |
|---|---|
| AMD-351 | 96.52% |
| TSLA-39840 | 96.41% |
| AMZN-16841 | 95.73% |
| SPXL-37514 | 95.46% |
| AAPL-24 | 95.15% |
| Summary Statistics | |
|---|---|
| Annualized Specific Return | 81.75% |
| Annualized Common Return | 6.45% |
| Annualized Total Return | 93.96% |
| Specific Sharpe Ratio | 1.43 |
| Exposures Summary | Average Risk Factor Exposure | Annualized Return | Cumulative Return |
|---|---|---|---|
| basic_materials | 0.00 | 0.00% | 0.00% |
| consumer_cyclical | 0.54 | 3.68% | 27.35% |
| financial_services | 0.00 | 0.00% | 0.00% |
| real_estate | 0.00 | 0.00% | 0.00% |
| consumer_defensive | 0.00 | 0.00% | 0.00% |
| health_care | 0.00 | 0.00% | 0.00% |
| utilities | 0.00 | 0.00% | 0.00% |
| communication_services | 0.00 | 0.00% | 0.00% |
| energy | 0.00 | 0.00% | 0.00% |
| industrials | 0.00 | 0.00% | 0.00% |
| technology | 0.65 | 11.39% | 105.71% |
| momentum | 1.99 | -1.86% | -11.79% |
| size | 1.92 | -2.39% | -14.96% |
| value | -0.89 | 0.23% | 1.55% |
| short_term_reversal | -0.41 | 0.16% | 1.10% |
| volatility | 1.09 | -3.88% | -23.24% |
