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Trade frequency 1/n

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I am trying to make a simple change to the 1/n algorithm that was posted last week.  I simply want to change the trade frequency to a defined number of days, rather than each new month.  With limited skills in programming I've made attempts at coding trade frequency in days without success.  Attached are my changes - trying to trade every 61 days.  Any direction or help is appreciated.  

Regarding this forum, community and tools you all have set up. It is amazing to see the work that has been done here.  It is truly creating change and will help step the industry in a new direction.   

Update Backtest



6 Comments
 
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Project here...

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In order to trade only at of after days that occur with a given frequency, we can compare the QCAlgorithm.Time object with a previously defined DateTime object to decide whether is a date we will trade:

public void OnData(TradeBars data)
{
if (Time > nextDate)
{
/*
Other trading logic here
*/
nextDate = nextDate.AddDays(period);
}
}

 

0

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.

Perfect, this is working now.
Thanks.
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One more question, is there any existing code examples that work to limit trade size? For example if I want to maintain a minimum trade size of $1000 in your frequency example above. I  have searched through the documentation and posts and so far have not found any discussion on trade size. 

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For minimum trade volume, we need to calculate the correspondent quantity for the security price for that volume, take the maximum from it and another quantity (if we have defined it) and submit the order:

# In OnData:
var price = data["SPY"].Price;
var minTradeQuantity = 1 + (int)(targetTradeVolume / price);

// Logic to calculate the quantity,
// let's use a fixed value of 1
var quantity = 1;

// Get the maximum of calculated and minimum quantity
quantity = Math.Max(quantity, minTradeQuantity);

// Submit the order
Order("SPY", quantity);

 

0

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.

Thanks, I will try working with this some more, but on first pass it seems there should be a more direct way to create a minimum trade threshold (either % or $) in SetHoldings itself. Without a min trade the $1 trade commission can create an unnecessary headwind when small trades are generated.
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Update Backtest



0

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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