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Kryptonite
It looks like there is sth wrong with Kraken data, which causes wrong backtest results
Xujin Zhang
Interestingly simple strategy, but I’m not sure if there’s an issue with the Kraken data as mentioned by others, especially since trading fees aren’t accounted for here.
Your algorithm uses taker orders (≈0.26% per trade, so ~0.52% round-trip for buy + sell). If you make 10 trades per day at 10% each (i.e., 100% turnover daily), you’re effectively losing 0.52% per day in fees.
Compounded over a month:
( (1 - 0.0052)^{30} \approx 0.85 )
So you’d lose roughly 15–17% of your portfolio per month just from trading fees alone.
Xujin Zhang
If you change to
self._symbol_strs = ["BTCUSDT", "ETHUSDT"]
symbol = self.AddCrypto(symbol_str, Resolution.Minute, Market.BINANCE).Symbol
The data from Kraken is corrupted, so I switched to Binance, and the results aren’t as exciting 🙁
QuantConnect Reconciliation
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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