Daily vs Hour vs Minute resolution

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Hello everybody,

When I use daily resolution I obtain nice results ,a bit worse when I use Hour resolution.However,when I use Minute resolution I end up loosing money and performing very bad.

I understand the the spreads are taken into account in the minute resolution but I don't think it can just shed the whole profits profits for a strategy rebalanced  only 12 times a year .

Thank you

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Hi Wawes,

I suggest comparing the orders between the resolutions to try and figure out the differences. The spreads, the time of order placements, etc. will compound over a long runtime, which can give us a significantly different result in the end.

Best,
Shile Wen 

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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.


Hi Wawes23,

 

There is quite a high probability that the issue is that the version with minute resolution is trading a lot more than just 12 times a year: you should take a look at the number of trades your get with the the daily resolution  in the "Orders" section, and the number of trades you get with the minute resolution.

 

If there is a major discrepancy, there is simply something in the code which generates many more trades than you wanted in the first place...

 

 

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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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