Now that Q has been running some algorithms for some time do we have some date how accurate the back-testing is?
What is the recommended slippage, is there a difference between high volume stocks and low volume?
Live trading vs Backtesting
The backtesting is holding up pretty well compared to the live trading. For all of the algos that we run real money, we also run IB Paper and Quantopian paper simulations at the same time. There are variations, of course, but not too bad.
I think we will adjust the default slippage model in the coming months to make orders slower to fill, but have less price impact because they are smaller orders.
I'd like to put together a more comprehensive study and share that, but haven't had the time to invest in that. Someday we'll get there.
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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.