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

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yfiua/quant-machine-sp500

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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As of 2023-11 we stop updating as the existing model is outdated.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.

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

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