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Hello all,
I created an alpha model to trade $O. When I add more securities to the universe, I get different results, even if I'm not trading those added securities yet. Below I'll attach two backtests, one with just $O in the universe, and then one with $O and some other securities. Those extra securities aren't being traded, but the backtest results are still different.
I.e.
self.AddUniverseSelection(ManualUniverseSelectionModel([O])) \\ vs
self.AddUniverseSelection(ManualUniverseSelectionModel([AMT, CCI, EQIX, DLR, O]))In below examples, the difference in net profit is around ~2%, but in other backtests the difference has exceeded 15%.
Why does this occur? Is this an issue with LEAN or my implementation? Thanks.
AK M
Above was the backtest with only $O. Below is a backtest with other securities.
Cole S
Hi AK,
I haven't had time to dig into it yet, but I did verify different results on backtests. This is interesting. I'll try to take a deeper look in the next day or two.
-Cole
AK M
Thanks Cole, appreciate it.
Varad Kabade
Hi AK M,
This happens because the Update method of the alpha model is called more times in the case of the universe having more symbols i.e., at some point in time, O has no data, but other securities do, increasing the number of insights. To prevent this, we recommend adding the following line at the start of the Update method:
Refer to the attached backtest.
Best,
Varad Kabade
AK M
Gotcha, that makes sense. I guess the assets in my other strategies were liquid enough where this issue didn't occur. Glad to hear it's an issue with my code instead of with LEAN!
AK M
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