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Intraday Buy Low

Hi there Folks!
I'm JJ and I want to share with you the worst algorithm ever. It is so bad that even made crash the QuantConnect cloud... seriously.
Is my first algorithm in C# so I choose a pretty simple strategy. But, as you can see, the results sucks.
I tried changing the parameters, and even I used the George Constanza strategy, I mean I inverted the orders signals, but still is very bad.
I guess I'll keep trying some other changes before move to the next trading idea.
Surely the code can be improved, so any ideas will be welcome.
Thanks in advance.
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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.



Hey Juan!

Thanks for sharing. It's actually not as bad as you think! I re-Costanza'd your buy signals and changed your fee model to use Tradier's $1 per trade fees and it made money!! I also noticed the algo is producing some MarketOnOpen orders because it's submitting the market order at 4:00pm. The exchange is 'closed' at 4:00pm so orders submitted at 4:00pm wont actually hit the exchange until 9:30am the next morning.

I would highly recommend more comments, especially if you run out of good method names :). You'll thank yourself later for being overly descriptive and obvious.

The original algorithm was eaten alive by some 38k in fees (plus I think signals were backwards, still not completely sure what the algo is trying to do :D).

Anyway, thanks for posting, I've attached the modified project, I hope this helps!
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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.


Just WOW! Thanks so much Michael.
I'll check your version and as soon I have some changes I'll share it.
Thanks again, JJ
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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.


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