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Reducing Dynamic Time Warping (DTW)

So the weekly alpha competition requires DTW to be pretty low (I think less than 25%) 

 

I see the DTW on most of the 'top' bots on the competiton is the thing that is disqualifying them. 

What could users do to reduce DTW overall (besides just choosing 'minute' resolution for their universes?

 

Best,

 

Josh

Update Backtest







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Hi Josh,

Differences in reconciliation can be caused by a few different things including the resolution of data, and order fill differences between live trading and back-testing. You can find a list of common reasons for differences in live reconciliation in the documentation. You can then make changes accordingly to your algorithm in order to alleviate those differences.

Best
Rahul

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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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