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Problem with schedule universe not firing only at month start

Hey everyone, i'm trying to understand this example because I believe it should be only buying on the start of a new month when the market opens but under orders it buys on multiple days throughout the month. I'm only wanting it to buy two stocks selected based on parameters at the start of the month on market open. Any help appreciated :)

Thanks

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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.


Hi Liam,

The Schedule Universe Selection model doesn't have a bug. If we log the symbols in SelectPair, we will find:

2016-01-04 14:30:00 :: AAPL,DIS
2016-02-01 14:30:00 :: DD,UTX
2016-03-01 14:30:00 :: MSFT,GS
2016-04-01 13:30:00 :: WMT,PFE
2016-05-02 13:30:00 :: INTC,AAPL
2016-06-01 13:30:00 :: BA,DIS
2016-07-01 13:30:00 :: AXP,V
2016-08-01 13:30:00 :: XOM,CVX
2016-09-01 13:30:00 :: UNH,VZ
2016-10-03 13:30:00 :: NKE,GE
2016-11-01 13:30:00 :: PFE,MMM
2016-12-01 14:30:00 :: V,PG

The issue is related to the choice of Alpha Model. ConstantAlphaModel is set to emit an alpha for every active security every time there is not an active insight for it and, since the insight expiry is set to 1 day (timedelta(1)), the pairs will rebalance daily. Also, ConstantAlphaModel doesn't know that SPY is not tradable (is it only the benchmark to select the pairs).

The solution is the creation of a new Alpha Model that will handle the insights accordingly.

 

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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.


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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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