Why so many transactions in sample algorithm?

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Why so many transactions in sample algorithm?

posted Aug 17, 2017

I'm brand new to this so please forgive my newbie question....

I ran the "Sample Mean Reversion Algorithm" and was looking at the backtest results. Why are there so many transactions per security, at so many different prices, and many times throughout the day? I see thousands of transactions, why isn't there a simple Buy x shares of ABC on Monday, Sell x shares of ABC the following Monday in the transaction log. How would I adjust the algorithm to reflect this? Thanks.

1 response

If I'm not mistaken, I believe it is due to liquidity of that security. If you kept the sample algo at the default $1 Million, that may be a cause for high volume orders that can't fill in 1 bar, and are filled in another... which would result in your situation.

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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.