XGBoost Factor Model
ML Modelrunningby Sarah Chen · v5 · daily
Cumulative Return
+25.00%
Sharpe
2.10
Sortino
2.65
Max Drawdown
-3.14%
Ann Return
+25.00%
Ann Vol
+10.00%
Calmar
2.50
Days Active
140
Cumulative Returns (%)
Drawdown (%)
Risk Limits
Max Drawdown
15%
Max Position
8%
Daily Loss Limit
4%
Max Orders/Tick
30
Current Positions (6 held)
NFLX
11.1% weight
MSFT
6.7% weight
CRM
6.3% weight