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Algorithm making unwanted transactions despite log showing otherwise
simon rasmussen
posted
Seeking Help Momentum

I have modified a template algorithm to get my first experiences on quantopian.

The idea was to enter on momentum and ONLY if there is no current position(context.portfolio.positions_value == 0) and then sell when price moves into negative momentum. Logically it follows that there can never be two buys without a sell in between - and this is what shows when i write to log from my if/else-function. However when I run a full backtest and show transactions multiple sequences of 'buy buy buy' and 'sell sell sell' show up. I am only using the 'order' command in this loop, so the log should show the same as the transaction overview.

Can anyone go through it and spot what causes this?

6 responses
simon rasmussen

I realized that I forgot to attach the algorithm. I have tried searching for an option to share the algorithm, but unsuccesfully so far.

Vladimir

Reply, Attach(top right corner), Backtest ,Select algo,Select backtest,Reply.

simon rasmussen

Okay, here we go - just chose the last backtest I ran

simon rasmussen

I'll try bumping my own thread here: can anyone see what causes the algo to make trades outside my IF/ELSE-loop?

Jamie McCorriston

Hi Simon,

What's happening here is that due to the slippage model being used, your order is being spread out over multiple days. The current default slippage model allows for you to order up to 25% of the volume of a given bar (this will be lowered down to 2.5% in the coming weeks). The order you placed was sometimes more than 25% of the day's volume, and as a result, was spread out.

Does this make sense?

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simon rasmussen

Thanks for the answer! That was an eye-opener as to solving the problem.

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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.