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$).
Bruno Franca
The attached backtest doesn't show what is happening. Here's what I see when the backtest ends.
https://ibb.co/wNKfS5sÂ
Arthur Asenheimer
As you have already mentioned the attached backtest doesn't reproduce the issue.Â
But I've two guesses:Â
1. Data Issue
Check the data for that particular time interval where the issue occurs.Â
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.Â
Bruno Franca
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.
Bruno Franca
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