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Backtest fails with no reason

Hi. I've just began using QuantConnect so this might be a stupid question. But my backtests keep failing and I don't understand why.

I'm trying to test a simple strategy where I sell a short straddle every month on the SPY. But when running a backtest it starts normally, then suddenly it gets a loss of over 150 M$ and crashes (even though it only starts with 100 K$).

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The attached backtest doesn't show what is happening. Here's what I see when the backtest ends.

https://ibb.co/wNKfS5s

 

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As you have already mentioned the attached backtest doesn't reproduce the issue. 

But I've two guesses: 

1. Data Issue

Check the data for that particular time interval where the issue occurs. 

2. lacking Quotes

Options market are basically less liquid than their corresponding underlying market. So you should be careful with Market Orders for Options. I recommend to check the Bid-Ask-Spread before or to use Limit Orders instead. 

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Indeed, if I start the backtest on 1/1/2011, the backtest works. There must be some problem in 2010 data.

Thank you for the advice about market orders. I'm just playing with the algo so far, when I get serious I'll use limit orders of course.

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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.


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