How are others dealing with grossly skewed performance results in live trading?

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How are others dealing with grossly skewed performance results in live trading?

posted Jul 2, 2017

Seeking Help Research Visualization

Hi guys,

I understand that due to legal issues between Quantopian and IB, Q can no longer provide accurate real time performance results.
(I was trying to find the post on this subject but unable to locate any more despite site searches.)

Recently I had all my live algo's disconnected due to a disconnection between IB and Q. Upon re-signing in the differences between
real performance and Q's reported performance became astronimical, so much so that one can just no believe the screen. Here's
an example of one of my accounts:
skewed performance results

Q is misreporting actual portfolio values , which should be $3098 not $3429.87. Since the starting value was $3,000 this gain should also be about 3.2% not 95.23%. The reported stock holdings are correct.

I realize I can run a report on the IB side to see what real gains have been, but I have about 10 live trading accounts and that is time consuming. Sometimes I just want to take a quick glance to see if everything is running as anticipated, and that's what I used to use Quantopian's performance results for.

Is there any way to get more accurate results, perhaps using the Research environment?

Appreciate any suggestions

4 responses

Deposits are counted by Q as profit. Withdrawals are counted by Q as loss.
Also, sometimes there is a race condition when you do manual trades, causing a spike up or down in the graph.
Did you do deposit, withdrawal, or manual trades?
If not, I have no idea.

Your screenshot does not indicate if your transaction history was kept after you reconnected to broker. That can have some effect as well.

With deposit/withdrawal, setting manual_cash here produces an accurate pnl in the custom chart as a workaround.

You'll see the deposits/withdrawals being synchronized by Quantopian in the Logs tab. As Charles noted, they do mess with the performance.

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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.

Charles,

Yes I did do some manual trades, and I knew this would skew the results. In my case (I manage accounts for a number of clients), I do not have the luxury of being able to set up individual accounts - one for Q algos and one for manual trades, which would solve this problem. By the way, I had though making a manual trade would cause my Q code to log off and stop trading. This is not the case, maybe because I am signed in as an RIA having control over subaccounts, yet the algos are signed in as the subaccounts. When I do manual trades it is never on same stocks as traded by algo itself, as I want to know how well the algo is doing on its own merits.

The effect of my manual trades was relatively small with about a 1% impact on the portfolios performance overall. So why the 50% spike up/down? No monies were added or withdrawn from portfolio.

Blue,
Thanks I've looked at pvr in the past and liked it. Just forgot to incorporate it into all my algos. Will try that now.

Dan,
Thanks for that info. But no withdrawals or deposits were made.

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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.