Ranked Selection Backtest 4¶

6 more weeks of walk-forward. Average gross leverage: 1.56.

Tearsheet Options

bt.create_full_tear_sheet(round_trips=True, hide_positions=True, live_start_date='2019-11-29')

The following charts are from the backtest analysis with the above options.

Cumulative Returns:

My Preferred Section: (with round_trips=True)

Equity Line:

The strategy seeks volatility. It is not running away from it.

Portfolio Metrics: