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minute backtest not working, while daily works
MD K
posted Dec 31, 2015

In the initialize() function, I have fetch_csv() and schedule_function(). In fetch_cv(), I read stocks I want to trade from outer link. In schedule_function(), I do trading upon these stocks. However, when I backtest in daily mode, it works fine, but there's no trade in minute mode. In detail, the schedule_function() doesn't run at all. I don't know why. Can anyone help me?

fetch_csv("https://copy.com/******", pre_func=preview, post_func=preview, date_column='date', universe_func=my_universe)  

schedule_function(rebalance, date_rules.every_day(), time_rules.market_close(minutes=5))

Happy New Year!

3 responses
Jamie McCorriston
Jan 1, 2016

Hi Mingda,

Would you be willing to share a backtest where this issue can be replicated? It's a little bit difficult to diagnose with just the two lines that you shared above. If not, can you add log lines to your rebalance() function to see when it gets run in minute mode?

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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.

Jamie McCorriston
Jan 1, 2016

Alternatively, you can email in to [email protected] and we can discuss the issue in private.

MD K
Jan 1, 2016

Hi Jamie,
Because I am going to use this strategy in contest, it's not convenient to post it. Sorry about it.
It seems I have found problem. The rebalance() function is not called. Later on, I set the universe in the initialize() by context.stocks=[***], not in fetch_cv() -> my_universe(), and it works. So I guess universe_func in fetch_csv() doesn't work in minute backtest.
Not sure...

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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.