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I'm exploring a yield curve steepener trade (short 10-year and long 2-year treasuries), however there's no data until well into the previous recession and there seems to be some data anomaly that causes the algorithm to go down 2291% not long after. Anybody have any ideas what I can do to get a longer backtest out of this? Thanks :)
Treasury Futures don't seem to have data until May'09 and then get flash liquidated in Jan'10?
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The margin call that terminates the algo doesn't show up here, but it's a nice big red candle :)
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Hi Dominik,
Really sorry about the long wait.
I have opened a Data Issue, since there is a suspicious close/low that set the portfolio value below zero. We are going to look into it.
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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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