Hi there,

I am struggling for a while with my implementation of the Algo Framework for crypto on Binance. The concept is very simple, to show what I mean:

  • filter small crypto coins
  • trade on default EMA alpha
  • no risk management

 

I do not understand why some trades happen. In my understanding (may be mistaken), there should be only trades when there is Insights. I have tried to de-activate any other signals that could result in trades (i.e. no portfolio rebalancing time, no universe adjustments, null risk management). I still see trades when there is no Insights in the direction of the trade. For instance, on 2022-01-05 19:00:00, there is only 1 insight on Cordana, but 3 trades are executed in the backtest.

Since I understand that it is not possible to flag the order by the algorithm module that caused it (i.e. is it a order coming from alpha vs. from rebalancing), I am quite lost to understand why this is happening.

Any help would be appreciated.

Thx,

G