Ranked Selection Backtest 6¶

This is a follow up to notebooks 4 and 5. Average gross leverage is raised from 1.61x to 1.67x, a 4% increase. Again, this is not a major move. However, it does increase leveraging costs, but it also raises overall return. The added profits are more than sufficient to cover the added trading expenses.

Tearsheet Options

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

The following charts are the same as used in the previous simulation. The backtest analysis used the above options where my favorite section is: round_trips = True.

Cumulative Returns:

My Preferred Section: (with round_trips = True)

Equity Line:

Portfolio Metrics: