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Very weird commission issue in the backtest
gil sapir
posted
Seeking Help Papers Tools and Tips

Hi,

I think there is a bug in the commission structure in the backtest (and in the paper trading)
From the documentation (https://www.quantopian.com/help#ide-commission)
according to this line:
"If you don't specify a commission, your backtest defaults to $0.001 per share with a $1 minimum cost per trade."

If I ran my strategy on backtest twice:
* once without specifying the commissions
* and once with this line:
set_commission(commission.PerShare(cost=0.001, min_trade_cost=1))

the backtest results must be the same, right ?.
But the results are TOTALLY different (the one with specifying the commission - much worst!)

Am I missing something here?

thanks!

3 responses
Dan Whitnable

The documentation verbiage is incorrect. It should read ""If you don't specify a commission, your backtest defaults to $0.001 per share with a $0 minimum cost per trade."

The code example in the docs, however, is correct.

    set_commission(commission.PerShare(cost=0.001, min_trade_cost=0))

Use that statement and the backtests should be identical.

Jean Bredeche

Hi Gil, thanks for reporting this issue.

Our documentation is actually wrong here. The default minimum cost per trade is $0 (in case you're interested, it's here: https://github.com/quantopian/zipline/blob/master/zipline/finance/commission.py#L29).

We'll fix our documentation soon, thanks again!

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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.

Jean Bredeche

The documentation has been updated. Thanks again for finding that mistake.

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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.