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Before I click on "Go Live"

This is my rewrite of the excellent strategy presented here by Jing Wu, Momentum Strategy with Market Cap and EV/EBITDA.

I took the effort of rewriting as I understand C# better than Python and my observation was C#  runs a little faster. It makes it much easier to run multiple Backtests; a few minutes vs. more than an hour to run a multi-year backtest.

I’m new to Quant Connect and want to understand a couple of things before I go live trading.

  1. How does Set Cash work when I do live trade?
    • Can I start, say with 4 or 5 grand, and ramp up over time? If yes should I update the production application?
    • In the event I want to withdraw part of the capital from the brokerage account how does it affect the application?
    • Should be a question to Interactive Brokers, but trying my luck, will it work with Interactive Lite?
  2. When I’m doing my back-tests, I often see a message “Insufficient funds” or something to its effect. Within my code, I ensure not to use more than 80% of my “cash”. Should I take of settlement days (T+3?) before I place the buy order after a sell?
  3. I’ve done 1-1 implementation of Jing’s logic (of course small changes here and there) but will eventually modify security select logic. If I’d do so how do I deployed to production? Do I liquidate all my holdings and re-deploy?
  4. In the event I maintain more than one account/portfolio with Interactive accounts can I run more than one application on a server (say “Server 512”)?

Sorry, it is a multipart, multisubject question but they are minor details that most of us will stumble upon and hence compiled many of my questions into one.

 

Update Backtest








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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.


  1. Cash is pulled from your brokerage for live trading or is set to $100k for paper trading. If you withdraw cash and restart your algorithm. Will it work with Interactive Lite? IBKR Lite doesn't support its API.
  2. SetHoldings() will do this if you just make sure the fractions don't sum to more than 0.8, just make sure to reduce positions before "extending" others. With daily data, it's tricky since you don't know tomorrow's opening price so it's important to leave a cash buffer.
  3. You can deploy with existing holdings but how it interacts with your algorithm depends on your algorithm implementation.
  4. You will need 1 IB account per algorithm - these can be IB sub-accounts that are easy to create.
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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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