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Hello,
pls have a look on the attached backtest.
It just buys QQQ (or SPY).
Why is the beta close to 0? It should be close to 1.
Same results with SPY and QQQ.
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Rahul Chowdhury
Hey Eugene,
This is actually a known bug with daily resolution data and we are working on patching it. If you use any other resolution besides daily resolution data, you will get the correct beta value of 1.
Best
Rahul
Eugene
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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