advanced-algorithmic-trading

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take into account commission differences for ETFs, but they are reasonably representative of
what could be achieved in a real trading strategy.
27.6.2 Tearsheet
Figure 27.3:
Once again recall that this strategy contains an implicit lookahead bias due to the fact that
the CADF procedure was carried out over the same sample of data as the trading strategy.
With that in mind, the strategy posts a Sharpe Ratio of 1.22, with a maximum daily drawdown
of 7.02%. The majority of the strategy gains occur in a single month within January 2015,
after which the strategy performs poorly. It remains in drawdown throughout 2016. This is not