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Hello Varad kabade,
Thank you for your help with code to use the Algorithm Framework in response to my previous request at:
Attached, I have tried it with minor modifications & also added the Alpha Streams brokerage model so that I can ensure my algo format is ready for submission to the competition when/if I come up with one sufficiently profitable & with the proper PSR.
However, the algo emits more than 500 insights each day, I assumed that it should emit at most 10, given that my stock universe is narrowed to Top 5 and Bottom 5. Can you have a look pls to see what may be causing the daily number of insights to increase?
Also, can you send me a documentation link pls that explains the Alpha chart in the backtest report.
Thanks.
Sheikh
PS: There is no ‘insights’ to tag this post.
Louis Szeto
Hi Sheikh
Your time window at insight count box is not per day, it is around 8 bars for 2 years, so 252*2*10 insights in that period of time according to your statement. Divided by 8 you get 600+ insights in one bar. Your code should have no problem. Hope this could resolve your concern.
Cheers
Louis
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Sheikh Pancham
ah ok, yes, thanks Louis!
Varad Kabade
Hi Sheikh Pancham and Louis,
Thank you Louis for your response.
When backtesting a strategy implemented using the Algorithmic framework, The Alpha Assets chart displays the number of insights the algorithm emitted for each security. See attached backtest for reference. We suggest going through the following thread regarding information about different strategy metrics.
Best,
Varad Kabade
Sheikh Pancham
Thanks guys for the great support!
I want to add an indicator (MOMP for SPY) to my strategy so I created a separate simple strategy (attached) to learn that functionality and also learn about the optimizer using just one parameter. The backtest runs fine but the optimizer fails, even though it stated ‘optimizer created successfully’. (Parameter: upthreshold, from 0 to 1, timestep 0.1)
When you have a moment, pls see what might be set up incorrectly for the optimizer & also if I created & updated the indicator in the correct way.
Thanks very much.
Sheikh
Varad Kabade
Hi Sheikh Pancham,
When we use the shortcut method to create an indicator(self.EMA, self.MOMP, etc.) the algorithm creates the indicator, it hooks them for automatic updates. So, we don't need update them in OnData.
Refer to the documentation here and see the attached backtest where we've removed the manual indicator update. When we tried using the optimizer method for the 'upthreshold' parameter, we could do it without an error. We recommend going through this thread.
Best,
Varad Kabade
Sheikh Pancham
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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