I get about ~155% for the algo when I use SPY as a benchmark, and ~135% if I use LQD instead. I don't really see why the algo's performance would somehow depend on the benchmark, but I'm probably missing something obvious?
That doesn't sound expected. Can you share a backtest with the problem so we can dig into it?
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Sure, here's some meta too:
Backtest 56 (LQD) 2015-09-14 2005-01-02 to 2015-08-31 Minute $20,000 134.82%
Backtest 55 (SPY) 2015-09-14 2005-01-02 to 2015-08-31 Minute $20,000 156.46%
Literally the only difference is "set_benchmark", I compared them. I can't think of anything in the code that somehow links to the benchmark...
Edit: funny thing is, I see it liquidating twice around the financial crisis for LQD, but only once for SPY, where the total return remains positive.
Hi Joel,
Any security that you create with calls to symbol or sid will be added to the data object. For this reason, in the LQD case, the benchmark is included in the columns of the data object passed to handle data. Since your algorithm is building a weighted portfolio of everything in data, it is including LQD. When you use the default, you're not declaring SPY, so it is omitted from the data and not included in the portfolio.
Sorry for the hidden side-effect.
thanks,
fawce
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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.
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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.