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I've ran into a backtesting error message: "You have exceeded the maximum number of orders (10000), for unlimited orders upgrade your account."
On the backtest, the algorithm is averaging 10-20 insights per month. How might these relatively low numbers of BUY / SELL signals be triggering 10,000+ orders?
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Jared Broad
Yes this might, unfortunately, be churn from rebalancing too much. Perhaps you can set the rebalancing frequency of the model to each week or month? Can you share the initialize method of your algorithm?
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.
Ryan Bell
Ah, that must be it. It would be nice if there were a way to see something like this, to more or less confirm that an algorithm was trading as intended.
https://i.imgur.com/TLeBp2s.png(Just looking at an averaged equity plot can be perplexing.)
Here's a quick test, illustrating some of the behavior. The strategy emits an insight every day. Each day, the strategy says "APPL" and "SPY" are trending upward for at least the next week. Intuitively, I would think this would be 2 open tickets for the duration of the backtest. In the portfolio selection, SPY is weighted 3:1 against AAPL.
Yet, the Alpha Assets indicator seems to display 1:1 AAPL and SPY investments while the algorithm performs over 4,000 trades for just these 2 symbols.
Ryan Bell
This was another test using an equal weighting portfolio selection for 2 symbols. On the first daily scheduled event ([2014-11-03 09:40:00]: BUY SPY), the algorithm signals 2 buy signals with a long duration. At the 10th iteration ([2014-11-17 09:40:00]: SELL SPY), the algorithm has a change of heart and triggers 2 SELL orders.
A total of 4 insights are emitted. Intuitively, this would seem like a 4 order process over the course of 10 days. Yet, the algorithm places over 1,300 trades across 2 years.
Jared Broad
It is rebalancing to ensure the same cash allocation over time. We're adding a minimum order size as well to make sure it only trades once at a significant difference.
The framework separates the concepts of signals and trading making it closer to a professional fund. The order behavior depends entirely on the execution model.
QuantConnect algorithms can also be in "classic" style. This is basically letting you place all trades individually (no alpha/execution etc)
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.
Ryan Bell
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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