Comparative analysis of AI-driven versus human-managed equity funds across market trends

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Edit and run Quant Buffet Python for Comparative analysis of AI-driven versus human-managed equity funds across market trends in the browser. Results update live with equity, drawdown, and metrics charts. Allowed: backtest.data, backtest.engine, backtest.metrics, numpy, pandas. Define ASSETS and make_on_day(prices). Shortcut: Ctrl+Enter. API docs →

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IDE · 42 lines
Quant Buffet syntax cheat sheet (copy / insert)

Paste these fragments into the editor. The sandbox rejects QuantConnect, os, and network libraries.

Required imports
Only these libraries are allowed in the sandbox.
from __future__ import annotations

import numpy as np
import pandas as pd

from backtest.data import load_daily_prices
from backtest.engine import EngineConfig, PortfolioEngine
from backtest.metrics import compute_metrics
ASSETS list (whitelisted ETFs)
Module-level list. Tickers must be in the Quant Buffet whitelist.
ASSETS = ["SPY", "QQQ", "TLT", "GLD", "BIL"]
make_on_day contract
Must return (on_day, ready). on_day calls engine.set_target_weights.
def make_on_day(prices: pd.DataFrame):
    cols = [c for c in ASSETS if c in prices.columns]
    sma = prices[cols].rolling(200, min_periods=200).mean()
    state = {"last": None}

    def on_day(engine: PortfolioEngine, dt: pd.Timestamp) -> None:
        if sma.loc[dt].isna().all():
            return
        key = (dt.year, dt.month)
        if state["last"] == key:
            return
        state["last"] = key
        long = [
            s for s in cols
            if pd.notna(prices.at[dt, s]) and pd.notna(sma.at[dt, s])
            and prices.at[dt, s] > sma.at[dt, s]
        ]
        weights = {} if not long else {s: 1.0 / len(long) for s in long}
        engine.set_target_weights(dt, weights)

    ready = sma.dropna(how="all").index.min() if sma.notna().any().any() else None
    return on_day, ready
Set target weights
Weights should sum to about 1.0. Empty dict = 100% cash.
engine.set_target_weights(dt, {"SPY": 0.60, "BIL": 0.40})

Live backtest performance

CAGR
6.75%
Sharpe
0.45
Max DD
-53.11%
Vol
18.22%
Sortino
0.69
Beta
0.78

Showing saved draft baseline until you re-run.

Equity curve (indexed = 100)

Accent = strategy · dashed grey = buy-and-hold benchmark

2000-072026-0882259
Drawdown
Worst -41.8%-42%
Metrics bar chart
CAGRSharpeSortinoVol|DD|Grey = baseline · Accent = live run
Monthly returns
2020-062026-08 · last 24 months

Export to your platform

Transform Quant Buffet lab code (ASSETS + make_on_day / PortfolioEngine) into native classes for a third-party IDE — then copy and paste.

Run in: QuantConnect Cloud or LEAN CLI · QCAlgorithm with Equity securities and monthly rebalance.

Detected pattern: Momentum rotationAssets: SPY, TLT, GLD, BIL
# Generated from Quant Buffet → QuantConnect LEAN
# Strategy: Comparative analysis of AI-driven versus human-managed equity funds across market trends
# Detected pattern: Momentum rotation
# Source uses Quant Buffet lab APIs (ASSETS + make_on_day / PortfolioEngine).
# Review fees, data, and risk before live trading — educational export only.

from AlgorithmImports import *


class QuantBuffetExport(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2010, 1, 1)
        self.SetCash(100000)
        tickers = ["SPY", "TLT", "GLD", "BIL"]
        self.symbols = []
        for t in tickers:
            if "-" in t:  # crypto proxy e.g. BTC-USD
                self.symbols.append(self.AddCrypto(t.replace("-USD", ""), Resolution.Daily).Symbol)
            else:
                self.symbols.append(self.AddEquity(t, Resolution.Daily).Symbol)
        self.Schedule.On(
            self.DateRules.MonthStart(self.symbols[0]),
            self.TimeRules.AfterMarketOpen(self.symbols[0], 30),
            self.Rebalance,
        )
        # Logic: Hold top 3 by 126-day return; monthly.

    def Rebalance(self):
        scores = {}
        for symbol in self.symbols:
            hist = self.History(symbol, 126 + 5, Resolution.Daily)
            if hist.empty: continue
            close = hist["close"]
            if hasattr(close, "unstack"):
                close = close.unstack(level=0).iloc[:, 0]
            if len(close) < 126 + 1: continue
            scores[symbol] = float(close.iloc[-1] / close.iloc[-126 - 1] - 1)
        ranked = sorted(scores.items(), key=lambda kv: kv[1], reverse=True)[:3]
        for symbol in self.symbols:
            self.SetHoldings(symbol, 0)
        if ranked:
            w = 1.0 / len(ranked)
            for symbol, _ in ranked:
                self.SetHoldings(symbol, w)

Exported code uses the platform’s native classes and libraries. Install dependencies in your third-party IDE, then run. Validate before live trading.

Academic paper

Comparative analysis of AI-driven versus human-managed equity funds across market trends

AuthorsAmirul Ammar Anuar; Ahmad Azam Bin Sulaiman; Mohammad Taqiuddin Mohamad

InstituteUniversity of Malaya

Teaser

Rank the book by trailing return and hold the top-N names equal-weight. Universe: XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY, XLC, XLRE. Parameters: lookback=126; top_n=3; rebalance=monthly. Rebalanced on the engine's template schedule with 5 bps commission and 2 bps slippage. Because the paper's primary signal (ML, sentiment, or proprietary data) is not available in our public ETF engine, this draft uses a liquid ETF rule that preserves the paper's economic theme rather than a bit-exact replic

Strategy in a nutshell

Abstract The emergence of AI-driven funds has prompted inquiries regarding their efficacy in comparison with human-managed funds; however, empirical evaluations remain scarce. This study investigates their performance across distinct market conditions, a downtrend in 2022 and a subsequent recovery to an uptrend in 2023 and 2024, with the aim of determining which investment skills are more effective under varying economic cycles. Fund performance is evaluated using risk-adjusted return metrics such as Sharpe, Treynor, and Jensen’s alpha to assess returns relative to risk exposure. Additionally, t -tests on raw returns were conducted to statistically validate whether AI-driven or human-managed funds achieve significantly different returns under each market condition. Findings reveal that AI-

Economic rationale

Assets with stronger recent relative performance tend to continue outperforming over intermediate horizons; rotating into leaders harvests that premium. Related evidence from “Comparative analysis of AI-driven versus human-managed equity funds across market trends”: Abstract The emergence of AI-driven funds has prompted inquiries regarding their efficacy in comparison with human-managed funds; however, empirical evaluations remain scarce. This study investigates their performance across distinct market conditions, a downtrend in 2022 and a subsequent recovery to an uptrend in 2023 and 2024, with the aim of determining which investment skills are more effective under varying economic cycles. Fund performance is evaluated using risk-adjusted return metrics su

Backtest performance

Annualised return6.75%
Volatility18.22%
Beta0.78
Sharpe ratio0.45
Sortino ratio0.69
Maximum drawdown-53.11%