LEAN is the open
source
algorithmic trading engine powering QuantConnect. Founded in 2013 LEAN has been built by a
global community of 80+ engineers and powers more than a dozen hedge funds today.
Alpha Five Competition: $27,500 Prize Pool
Alpha Streams Long Only, ETF Universe Competition.
Learn more
I have some questions with how the CAGR statistic is being calculated in the summary statistics section. For instance I set my algorithm start data to July 18 2016 (Exactly 2 years ago), and over this period it returns 53.77%. I've always thought the CAGR formula would ((EndVal/StartVal)^(1/Years))-1 or ((1.5377/1)^(.5))-1, which is 24.00%. However in the summary statistics it is saying 10.84% for my CAGR. I'm using a long SetWarmup period and this is the only thing I can think of as the reason for such a dramatic difference. Is this intentional? Just thought I'd bring it up since now I have to recalculate those statistics to check them.
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.
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.
Did some checking and the CAGR output the summary gave me is equal to what the CAGR formula is if the start date is the start of the warmup period, instead of the start date of the algorithm
Interesting! Do you mind posting an example which exaggerates the issue? This is the LEAN CAGR calculation. If you can isolate and prove a bug we'll post an issue and flag for a fix.
0
Edited by Jared Broad
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.
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.
Loading...
To attach images, drag and drop them into the textarea.
Please tag your post with applicable tags from below or click Publish to continue.
FAQ
A:
Please send bug reports to support@quantconnect.com
Please send bug reports to QuantConnect Support so our team can respond as quickly as
possible.
Click Support Request below to submit your discussion as a bug report, or Publish Discussion
to
continue posting as a discussion to the forums.
Please send bug reports to support@quantconnect.com
