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DO NOT USE: This is a FLAWED strategy to demonstrate the fallacy of using "Resolution.DAILY" paired with .set_holdings() or .liquidate() scheduled before market close. The results look miraculously good, but in fact are actually terrible and misleading. The reason is that backtest will fill the price on YESTERDAY's CLOSE price.
I've seen several QuantConnect strategies doing this reporting good results, when in fact, it's misleading.
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Sanchari
Thanks @ray-juang for publishing this. I also came across multiple strategies with this issue and infact went through the same issue in my own strats and figured out by going through QC documentations.
Kryptonite
Agree, this is a big issue with Quanconnect in my view.
Alexandre Catarino
Hi,
We have addressed the issue with daily resolution.
QCAlgorithm.MarketOrder now converts these orders so they fill at a real daily open/close instead of the stale previous close:
- market closed (any resolution): MarketOnOpen, as before
- market open, daily-only subscription: MarketOnClose (today's close), or MarketOnOpen (next open) when already within the MarketOnClose submission buffer near the close
We'll delist the old strategies soon.
Best regards,
Alex
Jared Broad
Hi Ray – thanks for nudging to fix this. We've tried to hack around it with order warnings and documentation, but decided to rip the band-aid and made it enforced in LEAN now. Announcement here:Â
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.
Alexandre Catarino
Please check out the announcement on the change
Closing the Stale-Price Loophole on Daily and Hourly Data
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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