Back

Insight Expiry Time

Hello,

Q1) I run the algorithm on daily time frame and put a 16 hours of prediction Interval. The expiry time gets a value of 16:00 tomorrow, although the day ends at 19:00. Why does expiry assume the day ends at 23:59:59? Are the time zone in backtesting increments and the expiry calculation time zone different?
https://www.quantconnect.com/backtest/56893/2024477/eb73594ea98477e25d0cfeff74fabe99-log.txt

Q2) When the insight is added on Friday, the expiry time gets assigned 14:00 next Monday. I assume 2 hours is subtracted because market opens at GMT 22:00 on Sunday. There is a little, problem here. Although the day is just 2 hours, the portfolio construction model sends the targets to the execution coming from Friday's insights. (I tried to have a model that sends targets of the insights until expiration). Then although my insight expire 16 market-hours later, the behaviour is like that it expires 2 days later. Hence, I have a target on Monday that should have been expired 1-2 days ago at weekend.

Best,
Atacan

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.


Hi Atacan,

To answer your first question, the insight expiry time is calculated by taking the generated time and then adding the period. Since Forex markets are open 24-hours per day for Monday-Thursday (00:00 UTC - 23:59:59 UTC), 00:00 UTC - 17:00 UTC Fridays, closed Saturdays, and 17:00 UTC - 23:59:59 UTC on Sunday. As such, the insights are generated at 00:00 UTC and so they will expire at 16:00 UTC. You can find more information in the documentation here.

The answer to your second question is that the insight generation is done at 00:00 UTC on Saturday, but since the market open is actualy 17:00 UTC on Sunday, then the 16 hour period means that the insight will expire at 14:00 UTC Monday.

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.


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.


Loading...

This discussion is closed

 
";