This week, we shipped a new chart on all backtests, optimizations, and new deployments of live trading algorithms -- the Portfolio Margin plot. This chart plots the margin used for significant holdings in your portfolio over time to help our community fully utilize capital and understand the impact of hedging on their strategies.
The adage "It’s not about timing the market, but about time in the market" tells us that simply having your capital deployed increases the probability of participating in significant moves. This adage is true for many quantitative investors as well. Smart beta, factor portfolios, and momentum strategies can all improve their returns by increasing capital utilization.

The new chart taps into the QuantConnect platform's superpower -- our high-fidelity portfolio margin modeling in backtesting and live trading. Our margin modeling system provides historical, realistic margin usage, mimicking the constraints of the real world. This system models multiple asset classes, even within the same portfolio. If the market dips, we model automatic brokerage margin calls liquidating some of the portfolio. This margin engine solves for derivative products, such as future option contracts, in strategies like straddles, condors, or spreads.
In the example below, we long and short two Option contracts to combine and reduce margin usage. The blue area represents a naked short position, and the gray area represents a group formed by a hedging long position. The naked short is purchased first, resulting in large swings in margin-used, but it is then hedged by the long to form a bear call spread, capping its margin used (gray).

We have deployed this new feature to all users on QuantConnect, and we hope it helps improve your understanding of the capital at work in your strategy. For more information, see our documentation on the Portfolio Margin chart.
Happy Coding,
QuantConnect Team
CaseyS
This is awesome. Will be super helpful for my risk parity use-case to fully understand the impact on my Interactive Brokers portfolio margin account.
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Lars Klawitter
To Yuri's earlier point of there being a difference between backtests and live trading as to when the stop orders are placed:
I've been running the strategy (using a larger universe and shorter opening range as per my previous post) on IBKR paper trading (i.e. on an actual IBKR account, not via QC paper trading) and as Yuri suggested, the stop orders are at times placed within the same minute. Mostly 20-40 seconds after the entry:
in one case the stop order was placed the same instance as the entry:
I tried second resolution, but that seems impractical given the large universe size.
So this is my attempt at an artificially delayed stop order placement:
I'm not a C# coder, so I definitely don't know what I'm doing. Backtests with this code produce by and large comparable results with the original code, so I'll try paper trading next.
Would the above code change make sense to you?
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Yuri Lopukhov
So far I can see two issues:
I can't fix the first issue in C#, so I guess I will switch to Python version unless somebody else fixes the C# version and share it. Not sure if fixing it will improve results as well.
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jack Pizza
define: “does really well with 1 minute” ….. 2000-2002 still utterly collapses fail to see well really well fits in….
or does really well when overfitting super hard?
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Quant Stratege
These backtests are not representative of live performance. When adding slippage, it can be significant at the open due to volatility, small-cap stocks, and using stop orders, making the results much less appealing.
Just add this line when adding securities:
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Lars Klawitter
You're right. I had previously only simulated very small constant slippages, but MarketImpactSlippage has quite a savage effect…
If it looks too good to be true…
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
AleNoc
I noticed a difference between the backtest and the selection with live data (data provider QuantConnect). What data provider do you use for live trading?
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Evan lightner
I don't know where to start, I'll have to write a whole post and how I'm planning to implement this strategy. But first of all thank you @derek for sharing this (and of course for everything you've done with QC -its been a game changer for me).
But first of all, I just want to comment with one simple non-coding question….
Why are a good amount of people HATING on this strategy? I understand the backtest cherry pick , but for a bare bones boiler plate ( i messed around with some variables like holdings and percent risk and still got good results) , this is the best algo I've seen in a while, especially for being shared so freely - not to mention brand new piece of research in the community.
Is there just some sort of deep skepticism in the quant community at large I guess, inherently? I suppose that fits!
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Kevin Patterson
Does anyone else end up with very different symbols when running the exact same algo in backtesting vs live (IBKR paper trading)? For example when it is set to choose 20 symbols, I'll see maybe only half overlap –- and of course the ones going positive for the day in the backtest are the ones not picked up live 😅. Seems the relative volume calculations aren't exactly the same and it doesn't take much to move the symbols you get. This is my first foray in to large universe algo's, is this type discrepancy common with large universe backtests or is there settings to help make it line up better with live? S
Some folks were asking about sized nodes: after trying the python version on IBKR (with a few mods) an L1-2 node will make it through one day (it crashes after close though, so likely you need the next level up if you dont want to restart daily)
Thanks for all the python related posts, even if I don't end up trading it, the algo has been super helpful for learning more about the QC code and had some good recipes in it that I think would be helpful for any algorithm.
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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