Good day everyone. I have some anomaly in my backtest result. The total number of trades in backtest result does not tally with the total number of buy and sell signals. Please, does anyone know the reason(s) why these do not tally? In fact, could someone, please, explain how to determine the total number of buy and sell signals?
Louis Szeto
Hi Temitope
There could be multiple reasons for that. What execution model are you using? Some model limits the size of a single order, so your signal might be chopped into iceberg orders to send out. Is your stock liquid enough? If your stock do not have sufficient volume before your signal expire, it will not execute fully at once. Do you have sufficient margin or insight weighting? extreme small/big size order will not execute based on limitation of insight weighting and your free margin left. Are you using limit order? If so, it could be your condition has never been reached.
There could be more reasons to be explored. QC did great on LEAN engine to best simulate reality before you put your strategy to live paper/real trade, so you could gain more insight on how to manage your orders. :) If you wish to manage your order like cancel it if not filled after some time, or limit the size of every order, or set free margin safety boarder, you could check the documentation or run through bootcamp.
Cheers
Louis
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Varad Kabade
Hi Temitope Omojola and Louis,
Thank you, Louis, for your response.
Temitope Omojola, for further assistance, please attach a backtest for precise diagnosis.
Best,
Varad Kabade
Temitope Omojola
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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