quantum's People
quantum's Issues
Standarize frame and historic window
There should only one time window variable
Create a standardized back-testing module
Create a standardized back-testing module featuring:
Key objective: Are we improving the risk adjusted return on the portfolio on an absolute and relative basis to our benchmark?
Are we reducing the volatilidad of the portafolio?
Are we reducing the max drawdown of the portfolio?
What would have been the cumulative return of the portfolio with frequent rebalances?
What is the optimal rebalancing policy?
Using 100,000 dollars what would be the dollar gain at the end of the period?
Saving of historical trade portfolios into trading-log folder
Saving of historical trade portfolios into trading-log folder. Clean the root folder, don't leave old files outside.
All global variables only in one place
No overrides
Test quick_gammas to check it always return the optimal value
We will test the quick_gamma function with different time frames and different portfolios.
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