trophy

Long Only, ETF Alpha Streams Competition with $27,500 Prize Pool      T-17

Back

All, Coarse Fundamental The issue starts from May 9th, 2019; and continues until May 9th, 2019

Ticker all
From 2019-05-09 00:00:00
To 2019-05-09 00:00:00
Security Type Equity
Market USA
Resolution Coarse Fundamental
Status Closed

Coarse Fundamental selection appears to not work on May 9th, 2019 when back-testing. Other dates seem to work.

Here's the function I use:

public IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
{
var sortedByDollarVolume = coarse
.Where(x => x.HasFundamentalData)
.OrderBy(x => x.Price)
.ThenByDescending(x => x.DollarVolume)
.ThenByDescending(x => x.Volume);

var top = sortedByDollarVolume.Take(200);

this.Log("CoarseSelectionFunction symbols:");
string symbols = "";
foreach (var fundamentalItem in top) {
symbols += fundamentalItem.Symbol + " ";
}
this.Log(symbols);

return top.Select(x => x.Symbol);
}

This will print 0 symbols for the 9th for some reason.

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 Automaton,

Thanks for reporting! We've noticed the missing of equity data on that day and it will be available soon.

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.


JayJayD has marked this issue as closed.

0

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