Hello,
I am new to the site and new to investing. I have created an algo to take advantage of momentum trading with two leveraged indices. (XIV and UVXY). The algo is set to trade at most once per day. When I run the backtest using the daily setting the returns are significantly better than if I run it in minute setting. How is this possible if I am only allowing the algo to trade once dailys.
Thanks
Neil
interesting question... I'm quite interested in that myself...
What I'm thinking is that it's because of Quantopian's lag in executing the orders maybe... sometimes the lag can work in your favor, sometimes against you..
Quantopian team, if you're seeing this.... where can one learn more about the lag in Quantopian's orders?
ex: Why would a market order placed at 3PM today be executed the next day and not before the close?
thanks!
Neil, Ben take a look at this thread: https://www.quantopian.com/posts/differences-between-minute-and-daily-backtests
TLDR: Minute mode gets price updates minutely whereas daily mode gets price updates once per day. To better simulate paper trading and real money trading, you should develop your algo using minute mode.
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.
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.
