Hello everyone,
I'm new to Quantopian and I am making some experiments to gain confidence.
In one of these experiments I check if an asset is worth shorting according to some metrics and then I place this dummy order:
order_target_value(asset = asset, target=-1000) I would expect in the backtest to have only SELL transaction but it turns out my algorithm is actually buying something from time to time. I guess I am missing something, how is that possible?
Thanks everybody! :)
The behavior you are seeing is a result of the order_target_value method. That method will place an order such that, if executed, will end up with the 'target' value in the portfolio. In this case, it's not placing an order for -$1000 of stock. Rather, it's placing whatever order is needed (either a buy or a sell) to get the portfolio holdings to -$1000.
For example, if one held -100 shares of stock (ie short) currently priced at $10 then the order_target_value(asset = asset, target=-1000) method would not result in an order. The actual value is equal to the target value. However, if the price were to increase to $11/share the portfolio value would be -$1100. The order method would buy 10 shares of stock. The total held would then be -90 shares with a value of -$990. It tries to get as close to -$1000 as it can.
If one simply wants to order -$1000 of a stock then use the order_value method ( https://www.quantopian.com/docs/api-reference/algorithm-api-reference#quantopian.algorithm.order_value).
Hope that helps.
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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 Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.
