AlphaGen > Details

Random Forest HFT Strategy

- by Rosemary Ng Lau Ying Ting Fu Wing Lam

Cumulative PNL

28894.14

Daily PNL

+282.58

Model Accuracy

41.22%

Real Time Model PNL

Model Scoring Contest kicks started in
Days Hours Minutes Seconds

Investment Objective

We have adopted the “high-frequency trading” strategy for our trades which we look at 5 min data frames for the desired trading pair. With our algorithm, we frequently detect local minimums for buy and local peaks for sell to generate profit. The metrics we used for the model include Simple Moving Average', 'Bollinger Band', 'StochRSI', and 'MFI'.

Model Creator

Rosemary Ng

Hodl wannabe | Final year computing student at Imperial College London

Lau Ying Ting

Internship wanted | Third year Geophysics student at Imperial College London

Fu Wing Lam

I'm a third-year human resources management student interested in business development and investmen

Video

Facts

Inception Date: 2021-03-01 00:00:00+08:00

Currency: USD

NAV: 306753.65

Charges & Expenses

Trading Fee (maker fee - sell): 0.1%

Trading Fee (taker fee - buy): 0.1%

Volatitlity Measures

Sharpe Ratio: 0.02

Standard Deviation: 0.05

Risk Rating: N/A

Trading Frequency: 751 trades

Performance

PNL	Total	Average
PNL	Total	Per Transaction	Daily	Monthly	Annual
$	250953.65	527.49	25.56	13859.83	0.0
%	449.74%	0.37%	0.02%	4.73%	0.0%

	No. of Days	Max. Consecutive Days	Maximum	Maximum (%)
Gain	20	18	42887.42	450.85%
Loss	3	2	-15660.13	-0.14%

Holdings

Fund	Percentage Holdings	PNL
cash	0.0%	N/A
ENJ/USDT	100.0%	39775.3092

As of 2021-04-13

Portfolio Composition

Transaction History

Date	Fund	Price	Shares	Direction	Weight
2021-04-13	ENJ/USDT	3.0331	27785.2	BUY	98.18%
2021-04-13	ENJ/USDT	3.02956	27873.4	SELL	98.38%
2021-04-13	ENJ/USDT	3.02907	27873.4	BUY	98.36%
2021-04-13	ENJ/USDT	3.040795	27821.5	SELL	98.56%
2021-04-13	ENJ/USDT	3.067	27821.5	BUY	99.41%
2021-04-13	ENJ/USDT	3.152791	56.3	SELL	0.21%
2021-04-13	ENJ/USDT	3.09567	27561.6	SELL	99.4%
2021-04-13	ENJ/USDT	3.09017	27617.9	BUY	99.42%
2021-04-13	ENJ/USDT	3.075985	702.6	SELL	2.52%
2021-04-13	ENJ/USDT	3.0854	27015.6	SELL	97.11%
2021-04-12	ENJ/USDT	3.00226	27718.2	BUY	100.09%
2021-04-12	ENJ/USDT	3.0197	427.4	SELL	1.55%
2021-04-12	ENJ/USDT	3.031227	27082.5	SELL	98.74%
2021-04-12	ENJ/USDT	2.98712	27509.9	BUY	98.84%
2021-04-12	ENJ/USDT	3.025524	133.6	SELL	0.49%
2021-04-12	ENJ/USDT	2.95381	27738.9	SELL	98.55%
2021-04-12	ENJ/USDT	2.94161	27872.5	BUY	98.62%
2021-04-12	ENJ/USDT	3.01088	27285.8	SELL	98.82%
2021-04-12	ENJ/USDT	3.01601	27285.8	BUY	98.98%
2021-04-12	ENJ/USDT	3.052712	44.0	SELL	0.16%
2021-04-12	ENJ/USDT	3.075252	26770.1	SELL	99.02%
2021-04-12	ENJ/USDT	3.07328	26814.1	BUY	99.12%
2021-04-12	ENJ/USDT	3.075352	26849.6	SELL	99.32%
2021-04-12	ENJ/USDT	3.07873	26849.6	BUY	99.43%
2021-04-12	ENJ/USDT	3.15	26294.7	SELL	99.63%
2021-04-12	ENJ/USDT	3.15	26294.7	BUY	99.63%
2021-04-12	ENJ/USDT	3.127129	26540.0	SELL	99.83%
2021-04-11	ENJ/USDT	3.19748	26540.0	BUY	102.52%
2021-04-11	ENJ/USDT	3.294295	376.3	SELL	1.5%
2021-04-11	ENJ/USDT	3.28811	25483.2	SELL	101.23%
2021-04-11	ENJ/USDT	3.23749	25859.5	BUY	101.14%
2021-04-11	ENJ/USDT	3.192238	237.0	SELL	0.91%
2021-04-11	ENJ/USDT	3.14249	26453.8	SELL	100.43%
2021-04-11	ENJ/USDT	3.09782	26690.8	BUY	99.89%
2021-04-11	ENJ/USDT	3.123926	535.5	SELL	2.02%
2021-04-11	ENJ/USDT	3.1616	25675.6	SELL	98.07%
2021-04-11	ENJ/USDT	3.05775	26211.1	BUY	96.83%
2021-04-11	ENJ/USDT	3.126356	927.6	SELL	3.5%
2021-04-11	ENJ/USDT	3.117982	24826.1	SELL	93.52%
2021-04-11	ENJ/USDT	3.00869	25753.7	BUY	93.61%
2021-04-11	ENJ/USDT	3.03026	25621.6	SELL	93.8%
2021-04-11	ENJ/USDT	3.14027	25621.6	BUY	97.21%
2021-04-11	ENJ/USDT	3.141576	25662.2	SELL	97.4%
2021-04-10	ENJ/USDT	3.25334	25662.2	BUY	101.05%
2021-04-10	ENJ/USDT	3.21678	26005.9	SELL	101.26%
2021-04-10	ENJ/USDT	3.21649	26005.9	BUY	101.25%
2021-04-10	ENJ/USDT	3.25661	25736.9	SELL	101.45%
2021-04-10	ENJ/USDT	3.2472	25736.9	BUY	101.16%
2021-04-10	ENJ/USDT	3.271454	25597.2	SELL	101.36%
2021-04-10	ENJ/USDT	3.36527	25597.2	BUY	104.27%
2021-04-10	ENJ/USDT	3.34654	25792.0	SELL	104.47%
2021-04-10	ENJ/USDT	3.36461	25792.0	BUY	105.04%
2021-04-10	ENJ/USDT	3.5305	24629.3	SELL	105.25%
2021-04-10	ENJ/USDT	3.46637	24629.3	BUY	103.34%
2021-04-10	ENJ/USDT	3.39075	25229.0	SELL	103.54%
2021-04-10	ENJ/USDT	3.38907	25229.0	BUY	103.49%
2021-04-10	ENJ/USDT	3.368691	527.7	SELL	2.15%
2021-04-10	ENJ/USDT	3.329907	25194.8	SELL	101.55%
2021-04-10	ENJ/USDT	3.26486	25722.5	BUY	101.65%
2021-04-10	ENJ/USDT	3.30332	25473.9	SELL	101.85%
2021-04-10	ENJ/USDT	3.30186	25473.9	BUY	101.81%
2021-04-10	ENJ/USDT	3.321503	25374.0	SELL	102.01%
2021-04-10	ENJ/USDT	3.34828	25374.0	BUY	102.83%
2021-04-10	ENJ/USDT	3.34044	25484.5	SELL	103.04%
2021-04-10	ENJ/USDT	3.36446	25484.5	BUY	103.78%
2021-04-09	ENJ/USDT	3.46239	24813.2	SELL	100.1%
2021-04-09	ENJ/USDT	3.46158	24813.2	BUY	100.08%
2021-04-09	ENJ/USDT	3.486862	413.8	SELL	1.68%
2021-04-09	ENJ/USDT	3.58438	23608.6	SELL	98.6%
2021-04-09	ENJ/USDT	3.52616	24022.4	BUY	98.69%
2021-04-09	ENJ/USDT	3.643255	1044.8	SELL	4.44%
2021-04-09	ENJ/USDT	3.69445	21943.7	SELL	94.46%
2021-04-09	ENJ/USDT	3.47387	22988.5	BUY	93.05%
2021-04-09	ENJ/USDT	3.65194	480.4	SELL	2.04%
2021-04-09	ENJ/USDT	3.666417	21346.3	SELL	91.19%
2021-04-09	ENJ/USDT	3.58931	21826.7	BUY	91.28%
2021-04-09	ENJ/USDT	3.70281	21200.0	SELL	91.46%
2021-04-09	ENJ/USDT	3.67963	21200.0	BUY	90.89%
2021-04-09	ENJ/USDT	3.64681	754.3	SELL	3.21%
2021-04-09	ENJ/USDT	3.507484	21500.8	SELL	87.87%
2021-04-09	ENJ/USDT	3.392	22255.1	BUY	87.95%
2021-04-09	ENJ/USDT	3.52552	77.3	SELL	0.32%
2021-04-09	ENJ/USDT	3.55174	21220.0	SELL	87.81%
2021-04-09	ENJ/USDT	3.53083	21297.3	BUY	87.61%
2021-04-09	ENJ/USDT	3.43017	12.0	SELL	0.05%
2021-04-09	ENJ/USDT	3.44933	21832.2	SELL	87.74%
2021-04-09	ENJ/USDT	3.44933	21844.2	BUY	87.79%
2021-04-09	ENJ/USDT	3.43735	1556.9	SELL	6.24%
2021-04-09	ENJ/USDT	3.449132	20337.6	SELL	81.73%
2021-04-09	ENJ/USDT	3.20708	21894.5	BUY	81.81%
2021-04-09	ENJ/USDT	3.177289	100.9	SELL	0.37%
2021-04-09	ENJ/USDT	3.179056	22030.9	SELL	81.6%
2021-04-09	ENJ/USDT	3.16774	22131.8	BUY	81.68%
2021-04-09	ENJ/USDT	3.19446	21990.6	SELL	81.85%
2021-04-09	ENJ/USDT	3.19491	21990.6	BUY	81.86%
2021-04-09	ENJ/USDT	3.17436	348.4	SELL	1.29%
2021-04-09	ENJ/USDT	3.189186	21727.4	SELL	80.74%
2021-04-09	ENJ/USDT	3.142	22075.8	BUY	80.82%
2021-04-08	ENJ/USDT	3.27794	321.9	SELL	1.52%
2021-04-08	ENJ/USDT	3.289526	20807.2	SELL	98.58%
2021-04-08	ENJ/USDT	3.24265	21129.1	BUY	98.68%
2021-04-08	ENJ/USDT	3.31351	20718.6	SELL	98.88%
2021-04-08	ENJ/USDT	3.313	20718.6	BUY	98.86%
2021-04-08	ENJ/USDT	3.13183	21961.1	SELL	99.06%
2021-04-08	ENJ/USDT	3.13261	21961.1	BUY	99.08%
2021-04-08	ENJ/USDT	3.21552	21437.6	SELL	99.28%
2021-04-08	ENJ/USDT	3.23071	21437.6	BUY	99.75%
2021-04-08	ENJ/USDT	3.23374	342.2	SELL	1.59%
2021-04-08	ENJ/USDT	3.248562	21021.9	SELL	98.36%
2021-04-08	ENJ/USDT	3.19974	21364.1	BUY	98.46%
2021-04-08	ENJ/USDT	3.143976	644.7	SELL	2.92%
2021-04-08	ENJ/USDT	3.142068	21154.7	SELL	95.73%
2021-04-08	ENJ/USDT	3.0522	21799.4	BUY	95.83%
2021-04-08	ENJ/USDT	2.9888	22306.4	SELL	96.02%
2021-04-08	ENJ/USDT	2.98711	22306.4	BUY	95.97%
2021-04-08	ENJ/USDT	3.032763	579.6	SELL	2.53%
2021-04-08	ENJ/USDT	2.887384	22514.2	SELL	93.63%
2021-04-08	ENJ/USDT	2.81774	23093.8	BUY	93.72%
2021-04-08	ENJ/USDT	2.96123	1156.9	SELL	4.93%
2021-04-08	ENJ/USDT	3.03999	20321.4	SELL	88.98%
2021-04-08	ENJ/USDT	2.81658	21478.3	BUY	87.13%
2021-04-08	ENJ/USDT	2.75728	21984.1	SELL	87.3%
2021-04-08	ENJ/USDT	2.75547	21984.1	BUY	87.25%
2021-04-08	ENJ/USDT	2.68291	22623.9	SELL	87.42%
2021-04-08	ENJ/USDT	2.67918	22623.9	BUY	87.3%
2021-04-08	ENJ/USDT	2.66654	107.4	SELL	0.41%
2021-04-08	ENJ/USDT	2.678421	22568.7	SELL	87.06%
2021-04-08	ENJ/USDT	2.66841	22676.1	BUY	87.15%
2021-04-07	ENJ/USDT	2.696453	1307.5	SELL	5.82%
2021-04-07	ENJ/USDT	2.628773	21722.9	SELL	94.28%
2021-04-07	ENJ/USDT	2.48202	23030.4	BUY	94.37%
2021-04-07	ENJ/USDT	2.164463	463.1	SELL	1.65%
2021-04-07	ENJ/USDT	2.172425	25903.8	SELL	92.91%
2021-04-07	ENJ/USDT	2.13641	26366.9	BUY	93.0%
2021-04-07	ENJ/USDT	2.17445	25957.5	SELL	93.19%
2021-04-07	ENJ/USDT	2.19215	25957.5	BUY	93.95%
2021-04-07	ENJ/USDT	2.2319	25546.2	SELL	94.13%
2021-04-07	ENJ/USDT	2.28475	25546.2	BUY	96.36%
2021-04-07	ENJ/USDT	2.28792	137.8	SELL	0.52%
2021-04-07	ENJ/USDT	2.269432	25631.2	SELL	96.04%
2021-04-07	ENJ/USDT	2.25956	25769.0	BUY	96.13%
2021-04-07	ENJ/USDT	2.28825	25496.9	SELL	96.32%
2021-04-07	ENJ/USDT	2.28825	25496.9	BUY	96.32%
2021-04-06	ENJ/USDT	2.35021	137.3	SELL	0.55%
2021-04-06	ENJ/USDT	2.379088	24436.8	SELL	99.55%
2021-04-06	ENJ/USDT	2.36817	24574.1	BUY	99.65%
2021-04-06	ENJ/USDT	2.37923	24508.9	SELL	99.85%
2021-04-06	ENJ/USDT	2.38007	24508.9	BUY	99.88%
2021-04-06	ENJ/USDT	2.41211	672.3	SELL	2.78%
2021-04-06	ENJ/USDT	2.398827	23689.9	SELL	97.31%
2021-04-06	ENJ/USDT	2.33497	24362.2	BUY	97.4%
2021-04-06	ENJ/USDT	2.35931	727.0	SELL	2.94%
2021-04-06	ENJ/USDT	2.428013	22769.1	SELL	94.66%
2021-04-06	ENJ/USDT	2.35525	23496.1	BUY	94.76%
2021-04-06	ENJ/USDT	2.40311	23074.2	SELL	94.95%
2021-04-06	ENJ/USDT	2.40619	23074.2	BUY	95.07%
2021-04-06	ENJ/USDT	2.39911	23188.7	SELL	95.26%
2021-04-06	ENJ/USDT	2.40806	23188.7	BUY	95.61%
2021-04-06	ENJ/USDT	2.42829	23041.5	SELL	95.8%
2021-04-05	ENJ/USDT	2.47671	23041.5	BUY	100.41%
2021-04-05	ENJ/USDT	2.576666	254.7	SELL	1.15%
2021-04-05	ENJ/USDT	2.564608	22040.5	SELL	99.46%
2021-04-05	ENJ/USDT	2.53785	22295.2	BUY	99.56%
2021-04-05	ENJ/USDT	2.447983	411.2	SELL	1.77%
2021-04-05	ENJ/USDT	2.460322	22634.6	SELL	97.99%
2021-04-05	ENJ/USDT	2.41884	23045.8	BUY	98.09%

PNL - 1 Year

39775.31

PNL - 3 Year

250953.65469399997

Model Accuracy

41.22%

Model PNL

Backtest Statistics

Start: 2021-03-01 00:00:00+08:00

End: 2021-04-04 03:40:00+08:00

Duration: 34 days 03:40:00

Trading Period: 0 years 1 months 3 days

Beginning Balance: $55,800.00

Ending Balance: $306,753.65

Total Net Profit: $250,953.65

Annualized Return: 4.47%

Return on Initial Capital: 449.74%

Profit Factor: 125.59%

Gross Profit: $1,231,638.19

Gross Loss: $-980,684.53

Total Return: 449.74%

Max Return: 450.85%

Min Return: -0.14%

Number of Trades: 751

Number of Winning Trades: 339

Number of Losing Trades: 123

Win Ratio: 45.14%

Loss Ratio: 16.38%

Win Days: 20

Loss Days: 3

Max Win in Day: $42,887.42

Max Loss in Day: $-15,660.13

Sharpe Ratio: 0.0178

Sortino Ratio: 1.4307

Annualized Volatitlity: 5.29%

Information Ratio: 4.16%

Omega Ratio: 0.0%

Downside Risk: 3.16%

Beta: 0.326

Alpha: -0.9995

Calmar Ratio: 0.2715

Tail Ratio: 1.4

Stability of Timeseries: 92.2345%

Max Drawdown: 16.4676%

Max Drawdown Duration: 4 days 03:50:00

sqn: 3.9024

AREIX, your AI-powered financial assistant

Contact Info

Follow Us

Random Forest HFT Strategy

Cumulative PNL

Daily PNL

Model Accuracy

Real Time Model PNL

Investment Objective

Model Creator

Video

Facts

Charges & Expenses

Volatitlity Measures

Performance

Holdings

Portfolio Composition

Transaction History

PNL - 1 Year

PNL - 3 Year

Model Accuracy

Model PNL

Backtest Statistics

Choice of Fund