Simple 'Sanity Check' For Algos?

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

Simple 'Sanity Check' For Algos?

posted Sep 14, 2013

I see algos posted with returns in the 100s and 1000s of % which is great as it shows new users are joining up and - like me - learning.

But wouldn't a simple sanity check just be to add this:

record(Cash=context.portfolio.cash)

as the last line in handle_data? If an algo is going massively into -ve cash in order to make massive returns it needs a rethink, surely? Daniel did some very nice work here on limiting leverage which I really want to start using. I'm not suggesting this should be in every beginning algo but some basic check would be sensible. Any thoughts?

P.

3 responses

Peter,
You bring up a great point. Leverage is a double edged sword and that should be dealt very carefully. Thank you for pointing this out.

Maji

Hello Peter,

It ends up being a bit more complicated than just looking at cash, for an algo that uses shorting/margin. But if the algo is designed to be long only and cash goes negative, then it is a sure sign that something is amiss. In addition to Daniel, "Dennis C" also did some work in this area, but I have not dug into it fully.

I figure that Quantopian will eventually have to sort out how to manage this, since Interactive Brokers will be setting limits. I wonder if they'll be sending info./warnings to the Quantopian API?

Grant

Hello,

Any short positions would add to the cash position so a long/short algo with -ve cash is even worse.

P.

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

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.

About Quantopian

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.