LUCY QUANTSwing Trading
Pass 22 · Yr 2014
Best CAGR
+5.20%
Pass 21 · 30yr
Best NAV
$4.35M
from $1M start
Sharpe
0.91
22 passes complete
CAGR Improve
+4433%
pass 1 to best
NAV Improve
+351%
pass 1 to best
Trend
+145%
last 3 vs first 3
Sharpe Improve
+122%
34,115 samples
CAGR by Pass
Pass History
| # | CAGR | NAV | Sharpe | Corr | Time |
|---|---|---|---|---|---|
| 13 | +4.08% | $3.32M | 0.86 | -0.066 | 31m |
| 14 | +4.04% | $3.28M | 0.88 | -0.038 | 33m |
| 15 | +3.98% | $3.23M | 0.84 | -0.078 | 33m |
| 16 * | +4.21% | $3.44M | 0.88 | -0.090 | 33m |
| 17 * | +4.29% | $3.52M | 0.90 | -0.106 | 32m |
| 18 * | +4.66% | $3.92M | 0.90 | -0.086 | 33m |
| 19 | +4.02% | $3.26M | 0.86 | -0.110 | 33m |
| 20 | +4.10% | $3.34M | 0.87 | -0.204 | 36m |
| 21 * | +5.20% | $4.35M | 0.97 | -0.195 | 35m |
| 22 | +4.61% | $3.87M | 0.91 | -0.019 | 32m |
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YEAR 2014 (19/30) | Starting NAV: $2,494,972
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Active symbols: 13,759 (alive on 2014-07-01)
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LUCY SPEEDDay Trading · V2 V3 V4
Pass 24
V2
157 trades · 36% win
1,507,076 steps · corr -0.036
1,507,076 steps · corr -0.036
V3 Upgraded
485 trades · cross-pollinated
4,655,876 steps · corr -0.002
4,655,876 steps · corr -0.002
V4 Ross
31 trades · 39% win
294,624 steps · 12-dim SAC
294,624 steps · 12-dim SAC
V2 Reward
-3%
+0.060 to +0.058
V3 Reward
-3%
+0.099 to +0.096
V2 Corr
-112%
-0.017 to -0.036
Total Steps
6,457,576
203,100 buffer
Learning Correlation by Pass
Engine Passes
| # | V2 Corr | V2 Steps | V3 Corr | V4 Steps | Time |
|---|---|---|---|---|---|
| 15 | -0.013 | 941,876 | -0.040 | 184,140 | 791s |
| 16 | -0.047 | 1,004,676 | +0.022 | 196,416 | 854s |
| 17 | -0.004 | 1,067,476 | +0.010 | 208,692 | 794s |
| 18 | +0.043 | 1,130,276 | -0.070 | 220,968 | 828s |
| 19 | +0.058 | 1,193,076 | -0.069 | 233,244 | 875s |
| 20 | -0.037 | 1,255,876 | -0.026 | 245,520 | 836s |
| 21 | -0.008 | 1,318,676 | -0.125 | 257,796 | 814s |
| 22 | +0.012 | 1,381,476 | -0.078 | 270,072 | 773s |
| 23 | +0.005 | 1,444,276 | +0.062 | 282,348 | 711s |
| 24 | -0.036 | 1,507,076 | -0.002 | 294,624 | 699s |
[05:50:43] LUCY.SAC INFO: SAC step=60100 | Q1=0.0705 Q2=0.0699 | π_loss=-1.7432 | α=0.0003 | H=-2.0554 | Q̄=1.7438
[05:50:44] LUCY.SAC INFO: SAC step=60200 | Q1=0.0740 Q2=0.0739 | π_loss=-1.7368 | α=0.0003 | H=-2.1985 | Q̄=1.7374
[05:50:44] LUCY.SAC INFO: SAC step=60300 | Q1=0.0758 Q2=0.0761 | π_loss=-1.7392 | α=0.0003 | H=-2.2362 | Q̄=1.7398
[05:50:44] LUCY.SAC INFO: SAC step=60400 | Q1=0.0776 Q2=0.0772 | π_loss=-1.7420 | α=0.0003 | H=-2.2178 | Q̄=1.7426
[05:50:44] LUCY.SAC INFO: SAC step=60500 | Q1=0.0713 Q2=0.0710 | π_loss=-1.7411 | α=0.0003 | H=-2.0896 | Q̄=1.7416