Anomalous EDV ordering behavior

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Anomalous EDV ordering behavior

edited Mar 11, 2016

In browsing the work of others I may have encountered a bug related to the ordering of EDV (issue 1)
The presence of a correlated anomaly (issue 2) suggests that a broader algo/backtester problem may exist.

Issue 1: observed anomalous ordering behavior
After years of apparently correct orders the following occurs
2013-05-02 No position in EDV
2013-05-03 Buy order for qty_A shares of EDV
2013-06-03 Sell order for qty_A shares of EDV
2013-06-04 Sell order for qty_B shares of EDV

Issue 2: The leverage may differ significantly from 1.0 at two specific times
June 2009 Leverage = 1.06 after selling EEM and buying IEV
October 2010 Leverage = 0.95 after selling EDV and buying EEM

This issue is observed in test cases in which Issue 1 is present

Conditions under which problems are/are not observed:
- common: $100000 initial cash, daily execution
- present with start date of
- 1/1/06
(qtyB=1239 on 6/3/13), (qtyB=1233 on 8/4/14)
leverage = 1.06 in June 2009, leverage = 0.95 in October 2010
- 1/1/07
(qtyB= 696 on 6/3/13), (qtyB= 396 on 8/4/14)
leverage = 1.06 in June 2009, leverage = 0.95 in October 2010
- 1/1/08
(qtyB =133 on 6/3/13)
leverage = 1.06 in June 2009, leverage = 0.95 in October 2010
- not present with start dates of
- 1/1/09, 1/1/10, 1/1/11, 1/1/12

Base algo:
- Ed Bartosh's "more pythonic" 12/28/2013 implemention of
https://www.quantopian.com/posts/global-market-rotation-strategy-buggy-implementation

Modifications made to base algo:
- added leverage tracking (handle_data)
- added 0.995 multiplier to cash to reduce tendency to be cash negative (handle_data)
- dropped ILF and EPP from stock list (initialize)

2 responses

Substituting TLT for EDV gives similar overall results, but neither issue is observed.

I suspected that the problem might be caused by the old batch method.
Updated code to use history and got the same results when using EDV vs TLT.

Changing from EDV to TLT again I was able to stimulate anomalies at other times
For example:
Start: 1/4/2011, Daily execution
9/13/2012: holding qty_A of IEV
9/14/2012: sell order for qty_A of IEV
9/17/2012: sell order for qty_B of IEV
The above is seen with initial cash of $900k, $1M, $1.5M
It is not seen for initial cash of $100k, $300k, $600k, $800k

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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.