Alan Coppola

Alan Coppola
Having fun learning about quantitative financial market anallysis through the Quantopian platform for the past 5 years. Now applying signal processing and machine learning based artificial intelligence techniques to practical problems through the use of mathematics, statistics and programming in the areas of algorithmic trading.

Strategy

SaaS Tech - Trade the SaaS microsector, using a volatilty harvesting strategy. This strategy 's parameters inclue weekly rebalancing, a 10% asset portfolio exposure limit, along with a 70-30 percent long/short portfolio mixture.

Research

The research step for this strategy is done by hand, by talking with our client about SaaS stocks, and by considering the existing the gross performance of SaaS-like indices (EMCLOUD, SKYY, PSJ) .( See blog post:

Backtest

The Backtesting and paper/live connection to your broker account is done with HCA's zipline-broker release, which is an extension of zipline-live2.

The Live trading of this strategy is done, using the HCA Chili Trader engine, which drives zipline-broker, and trades through an IB-Gateway or IB-TWS account.

Backtest Results

We call this micro-sector universe SaaSTech, and have run a backtest using the last few years.

The results of the backtest have been analyzed by the Pyfolio tool.

The full backtest report is linked to below.

A few charts from the Pyfolio backtest analysis tear sheet are displayed here, for your easy access.

SaasTech 3-year backtest summary

SaasTech 3-yr Cumulative Returns vs SPY benchmark
SaasTech 70%-Long/30%-Short Exposure Chart
SaasTech Asset Allocation Bounds Chart (Longs < 7.5%, Shorts < 3%)

Below is the full tearsheet for this strategy.

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