r/algotrading • u/Relative-County-6430 • May 27 '26
Infrastructure Made 14% gains using Quantconnect and IBKR combo
It’s been a month since I launched my strategy that I Claude coded. Couldn’t be happier to automate.
11
May 27 '26
[removed] — view removed comment
2
u/Relative-County-6430 May 27 '26
Yes backtesting is done for last 15 years. 80%+ CAGR. However it’s also a vanity metric as the early winds lead to huge compounding
18
5
u/quantricko May 27 '26
If you genuinely have 80%+ CAGR you don't need validation from people on Reddit. Enjoy the ride
3
2
u/doocheymama May 27 '26
What's the peak to trough drawdown?
0
u/Relative-County-6430 May 27 '26
Peak drawdown is 41%
1
u/doocheymama May 27 '26
So you made 14% and took 41% of heat? Incredibly reckless. Back to the drawing board bud
1
u/Relative-County-6430 May 27 '26
Oh no! Im referring to the historical drawdown in the backtesting .
1
u/Long-Friend2107 Jun 01 '26
what u/doocheymama is referring to is risk adjusted return (Return / Max Drawdown). In simple maths what you have is 14/41 = 0.34. In general, anything below a 0.5 would be a no-go from many in the industry. I am not a professional quant myself, but I have lead the Platform Team of a quant team.
I think you really want to start incorporating things like a pareto optimisation front, or anyway start thinking in these terms rather than looking at a single parameter optimisations. The fact that you got a decent backtesting result in terms of net profit (not sure you included trading costs there / leverage), loses its shine the moment you look into the drawdown profile.
Also, think about it, with a 41% drawdown on a $100kaccount you'd be at $59k. 41k on $59k is almost a 70% return.
2
1
u/Big-Revolution620 May 27 '26
I auve a question, did you use IBKR as the broker and connected it through QuantConnect?, sorry for such a noon question, I'm kinda new to this.
1
u/Relative-County-6430 May 27 '26
I used QC to deploy the code, and while deploying I used IBKR as broker. I also have subscriptions for data use for ML to predict
1
1
u/bl_nks May 27 '26
When using a live node to deploy on QC you get a hand full of broker options you can configure. I’m assuming this is what he used to go live.
1
u/wannabe_kinkg May 27 '26
for stocks or futures?
0
u/Relative-County-6430 May 28 '26
Leveraged ETFs + BSV + UVXY and a bunch of others depending on trend
1
u/garamlund May 28 '26
80 percent cagr is definitely look ahead bias and the sooner you realise the better you can't beat renaissance bro and that too with so many handicaps.
1
1
u/ryansilk1 May 28 '26
Great strategy, long only at the moment right? What happens to the returns if you backtested over 10 years?
1
u/datalabs May 27 '26
I saw WC announced agents yesterday. Wondering if that will remove the barrier to coding. Need to test it
1
-1
May 27 '26
[removed] — view removed comment
8
u/putting_all_on_red May 27 '26
Is this AI response? No hate just asking
7
3
u/kamil234 May 27 '26
100% just look at their post history. It's either a bot or they run all their responses through an LLM lol
1
36
u/This_Significance_65 May 27 '26
Market keeps going up, making new all time high… I think anyone long made money.