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<!DOCTYPE html>
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta charset="utf-8"/>
<meta http-equiv="Content-Type" content="text/html; charset=utf-8"/>
<meta property="og:title" content="QuantConnect Backtest Report: StrategyName"/>
<meta property="og:type" content="website"/>
<meta property="og:url" content="https://www.quantconnect.com/terminal/reports/e88376fccc06c2874b161324dee286e8"/>
<meta property="og:description" content=""/>
<meta property="og:site_name" content="QuantConnect.com"/>
<meta property="og:url" content="https://www.quantconnect.com/terminal/reports/e88376fccc06c2874b161324dee286e8"/>
<meta property="og:image" content="./images/return-prediction.png"/>
<meta property="og:image" content="./images/annual-returns.png"/>
<meta property="og:image" content="https://cdn.quantconnect.com/web/i/users/profile/default.jpg"/>
<link rel="stylesheet" href="https://www.quantconnect.com/terminal/css/reports/bootstrap.css">
<link rel="stylesheet" href="https://maxcdn.bootstrapcdn.com/font-awesome/4.7.0/css/font-awesome.min.css">
<link rel="stylesheet" href="https://www.quantconnect.com/terminal/css/reports/pdf.css">
<script src="https://www.quantconnect.com/terminal/js/libraries/jquery.js"></script>
<script src="https://www.quantconnect.com/terminal/js/libraries/bootstrap.min.js"></script>
<script src="https://www.quantconnect.com/terminal/js/libraries/jquery.growl.js"></script>
<link rel="stylesheet" href="https://www.quantconnect.com/terminal/css/libraries/jquery.growl.css">
<style>
#table-summary .fa-times {
color: #d9534f;
}
#key-statistics tr > td:first-child,
#author-metadata tr > td:first-child,
#project-metadata tr > td:first-child,
#key-statistics tr > td:first-child,
#key-characteristics tr > td:first-child {
font-family: Norpeth-Bold, Helvetica, Arial, sans-serif;
font-weight: bold;
}
#author-metadata tr > td:first-child,
#project-metadata tr > td:first-child,
#key-characteristics tr > td:first-child {
width: 66%;
}
#key-characteristics tr > td:first-child {
width: 50%;
}
#key-characteristics tr > td:last-child {
text-align: center;
padding: 0;
}
#author-metadata tr > td:last-child,
#project-metadata tr > td:last-child {
text-align: center;
}
#key-statistics tr > td:last-child {
text-align: right;
}
#key-statistics tr > td,
#key-characteristics tr > td,
table.table tr > td {
vertical-align: middle;
}
table.table.align-top tr > td {
vertical-align: top;
}
.table.qc-table.compact {
height: 234px;
}
.table.qc-table.compact img {
width: 100%;
height: 100%;
max-height: 196px;
}
#author-box img {
max-width: 33%;
height: auto;
max-height: 33%;
float: left;
margin-right: 5px;
margin-bottom: 5px;
}
.header .header-title {
margin-top: 40px;
line-height: 30px;
position: absolute;
left: 0;
right: 0;
text-align: center;
}
#strategy-description,
#author-bio {
max-height: 194px;
word-wrap: break-word;
height: 100%;
}
#author-box .fa-pencil,
#description-box .fa-pencil {
display: none;
position: absolute;
bottom: 0;
right: 0;
}
#description-box:hover .fa-pencil,
#author-box:hover .fa-pencil {
display: block;
}
</style>
</head>
<body>
<div class="page">
<div class="header">
<div class="header-left">
<img src="https://cdn.quantconnect.com/web/i/logo.png">
</div>
<div class="header-title">Strategy Report Summary</div>
<div class="header-right">StrategyName</div>
</div>
<div class="content">
<h1 class="hidden">Strategy Report</h1>
<div class="container-row">
<div class="col-xs-8">
<table id="description-box" class="table qc-table compact no-margin align-top">
<thead>
<tr>
<th>
Strategy Description
</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<p id="strategy-description" class="text-justify editable" contentEditable="true" style="max-width: 590px;overflow: hidden;">
</p>
<i class="fa fa-pencil" style="margin: 15px;"></i>
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table id="author-box" class="table qc-table compact no-margin align-top">
<thead>
<tr>
<th>
About the Author <span class="pull-right">Xiang Li</span>
</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./Profile.png">
<p id="author-bio" class="text-justify editable" contentEditable="true" style="max-width: 286px;">
</p>
<i class="fa fa-pencil" style="margin: 15px 10px"></i>
</td>
</tr>
</tbody>
</table>
</div>
</div>
<div class="container-row">
<div class="col-xs-4">
<table id="key-characteristics" class="table qc-table compact">
<thead>
<tr>
<th colspan="2" >Key Characteristics</th>
</tr>
</thead>
<tbody>
<tr>
<td>Significant Period:</td>
<td><i class="fa fa-check" aria-hidden="true"></i></td>
</tr>
<tr>
<td>Significant Trading:</td>
<td><i class="fa fa-check" aria-hidden="true"></i></td>
</tr>
<tr>
<td>Diversified:</td>
<td><i class="fa fa-check" aria-hidden="true"></i></td>
</tr>
<tr>
<td>Risk Control:</td>
<td><i class="fa fa-times" aria-hidden="true"></i></td>
</tr>
<tr>
<td>Markets</td>
<td>Equity, Forex</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table id="key-characteristics" class="table qc-table compact">
<thead>
<tr>
<th colspan="2" >Key Statistics</th>
</tr>
</thead>
<tbody>
<tr>
<td>CAGR:</td>
<td>0.688 %</td>
</tr>
<tr>
<td>Drawdown:</td>
<td>40.1 %</td>
</tr>
<tr>
<td>Sharpe Ratio:</td>
<td>0.099</td>
</tr>
<tr>
<td>Sortino Ratio:</td>
<td>0.0122</td>
</tr>
<tr>
<td>Trades per Day:</td>
<td>6.46</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Monthly Returns</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/monthly-returns.png?">
</td>
</tr>
</tbody>
</table>
</div>
</div>
<div class="container-row">
<div class="col-xs-12">
<table class="table qc-table compact">
<thead>
<tr>
<th>Cumulative Returns</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/return-prediction.png">
</td>
</tr>
</tbody>
</table>
</div>
</div>
<div class="container-row">
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Annual Returns</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/annual-returns.png">
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Return Histogram</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/distribution-of-monthly-returns.png">
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Asset Allocation</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/asset-allocation-all.png">
</td>
</tr>
</tbody>
</table>
</div>
</div>
<div class="container-row">
<div class="col-xs-12">
<table class="table qc-table compact">
<thead>
<tr>
<th>Drawdown</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/drawdowns.png">
</td>
</tr>
</tbody>
</table>
</div>
</div>
</div>
<div class="footer">
<div class="footer-id">Hash:e88376fccc06c2874b161324dee286e8</div>
Democratizing Finance, Empowering Individuals
<div class="footer-page">1</div>
</div>
</div>
<div class="page">
<div class="header">
<div class="header-left">
<img src="https://cdn.quantconnect.com/web/i/logo.png">
</div>
<div class="header-title">Backtest Strategy Analysis</div>
<div class="header-right">StrategyName</div>
</div>
<div class="content">
<div class="container-row"> <div class="col-xs-12">
<table class="table qc-table compact">
<thead>
<tr>
<th>Daily Returns</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/daily-returns.png">
</td>
</tr>
</tbody>
</table>
</div>
</div><div class="container-row"> <div class="col-xs-12">
<table class="table qc-table compact">
<thead>
<tr>
<th>Leverage</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/leverage.png">
</td>
</tr>
</tbody>
</table>
</div>
</div><div class="container-row"> <div class="col-xs-12">
<table class="table qc-table compact">
<thead>
<tr>
<th>Net Holdings</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/net-holdings.png">
</td>
</tr>
</tbody>
</table>
</div>
</div><div class="container-row"> <div class="col-xs-12">
<table class="table qc-table compact">
<thead>
<tr>
<th>Rolling Portfolio Beta to Equity</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/rolling-portfolio-beta-to-equity.png">
</td>
</tr>
</tbody>
</table>
</div>
</div><div class="container-row"> <div class="col-xs-12">
<table class="table qc-table compact">
<thead>
<tr>
<th>Rolling Sharpe Ratio (6 Months)</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/rolling-sharpe-ratio(6-month).png">
</td>
</tr>
</tbody>
</table>
</div>
</div> </div>
<div class="footer">
<div class="footer-id">Hash:e88376fccc06c2874b161324dee286e8</div>
Democratizing Finance, Empowering Individuals
<div class="footer-page">2</div>
</div>
</div>
<div class="page">
<div class="header">
<div class="header-left">
<img src="https://cdn.quantconnect.com/web/i/logo.png">
</div>
<div class="header-title">Backtest Strategy Analysis</div>
<div class="header-right">StrategyName</div>
</div>
<div class="content">
<div class="container-row"> <div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Asset Allocation Equity</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/asset-allocation-equity.png">
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Asset Allocation Forex</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/asset-allocation-forex.png">
</td>
</tr>
</tbody>
</table>
</div>
</div><div class="container-row"><div class="col-xs-12"><h3>Backtest Crisis Analysis</h3></div></div><div class="container-row"> <div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis 2009q1</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-2009q1.png">
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis 2009q2</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-2009q2.png">
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis 9 11</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-9-11.png">
</td>
</tr>
</tbody>
</table>
</div>
</div><div class="container-row"> <div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis Apr14</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-apr14.png">
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis Aug07</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-aug07.png">
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis Dotcom</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-dotcom.png">
</td>
</tr>
</tbody>
</table>
</div>
</div><div class="container-row"> <div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis Ecb Ir Event 2012</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-ecb-ir-event-2012.png">
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis Fall2015</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-fall2015.png">
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis Flash Crash</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-flash-crash.png">
</td>
</tr>
</tbody>
</table>
</div>
</div> </div>
<div class="footer">
<div class="footer-id">Hash:e88376fccc06c2874b161324dee286e8</div>
Democratizing Finance, Empowering Individuals
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<div class="header-title">Backtest Crisis Analysis</div>
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<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis Fukushima Melt Down 2011</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-fukushima-melt-down-2011.png">
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis Gfc Crash</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-gfc-crash.png">
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis Lehman Brothers</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-lehman-brothers.png">
</td>
</tr>
</tbody>
</table>
</div>
</div><div class="container-row"> <div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis Low Volatility Bull Market</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-low-volatility-bull-market.png">
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis Mar08</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-mar08.png">
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis New Normal</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-new-normal.png">
</td>
</tr>
</tbody>
</table>
</div>
</div><div class="container-row"> <div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis Oct14</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-oct14.png">
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis Recovery</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-recovery.png">
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis Sept08</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-sept08.png">
</td>
</tr>
</tbody>
</table>
</div>
</div><div class="container-row"> <div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis Us Downgrade European Debt Crisis</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-us-downgrade-european-debt-crisis.png">
</td>
</tr>
</tbody>
</table>
</div>
<div class="col-xs-4">
<table class="table qc-table compact">
<thead>
<tr>
<th>Crisis Us Housing Bubble 2003</th>
</tr>
</thead>
<tbody>
<tr>
<td>
<img src="./images/crisis-us-housing-bubble-2003.png">
</td>
</tr>
</tbody>
</table>
</div>
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<div class="footer">
<div class="footer-id">Hash:e88376fccc06c2874b161324dee286e8</div>
Democratizing Finance, Empowering Individuals
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