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In looking at the 'Trades Summary' tab on a backtest I was surprised to see the following:
I found the actual low and high prices for AAPL on 2011/5/3 were $345.62 and $349.890 respectively. I wish I could have bought AAPL for $44 but no such luck. It appears that this tab isn't reporting actual prices and volumes but rather forward adjusted values. How can I set this tab to present the actual trades which would have taken place on the actual date?
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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Dan Whitnable
Did a bit more testing and it appears the backtester is not simply displaying the adjusted price, but is also calculating the commissions and the shares purchased on that forward adjusted price. This results in inaccurate commissions (for share based models) and inaccurate shares purchased (because one can't actually buy fractional shares). Is this a setting I am missing someplace?
Jared Broad
Hey Dan; the data is default adjusted.
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.
Dan Whitnable
Jared, thanks, makes sense. I didn't realize that setting propagated throughout the platform. Question... I see how to set the DataNormalizationMode for an individual equity using the code below. How can it be set for a universe so equities selected by a universe share a common mode?
self.Securities["SPY"].SetDataNormalizationMode(DataNormalizationMode.Raw);Jared Broad
Dan Whitnable -- yes; in C#. I'm not sure about python currently:
I'll ask Alex to make sure it has feature parity today.
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.
Dan Whitnable
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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