I am newbie on QuantConnect. I've used Quantopian earlier. Now I am interesting in options strategies which not available via Quantopian.
But when I try to backtest common example of ATM strategy (
Volatility Risk Premium Effect)performance is terrible. I can't finish a single test.
It's absolutely impossible to use.
Does upgrade to new plan(from free plan) solve this performance problem?
Xin Wei
Hi Alex,
Welcome to QuantConnect!
This demonstration strategy backtest is relatively slow since it trades minute data and spans over 5 months. For test purpose, you can reset the end date `self.SetEndDate(2017, 6, 1)` to a closer date, say, `self.SetEndDate(2017, 1, 10).` By this way, you can speed up your research and coding process. Once you are ready to deploy a real backtest, you can set a longer trading period that you need. Please try the attached backtest to see if it's still too slow for you.
Unfortunately, upgrading your plan would give you more RAM but not better speed. You can find pricing options here.
Xin
Alex Alex
Yes, this test has finished. But its only few days.
I don't need minute data but as I understand I can't use other timeframes with options.
Am I right?
Xin Wei
Hi Alex,
Yes you are correct, for Options we only have minute bar data. This documentation section describes the property of Options data that QuantConnect uses. Additionally, you may always check for our data availability here.
Moreover, you may see a performance log in your console after a backtest is finished: `Algorithm Id:(xxx) completed in 0.56 seconds at xxx data points per second. Processing total of xxx data points.` If you could share this log of your algorithm, we can determine if our server is underperforming. Thanks for your support!
Xin
Alex Alex
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.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!