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The backtest statistics are quite different in Lean / web QC.
If I execute attached algo in web QC, I get net profit of 322%
If I execute the same code in Lean (locally), I get net profit of 195%.
Could you please explain what type of market data Lean use by default and how it is different to QC default market data?
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.ekz.
Any luck figuring this out? I'm considering running a local instance, but if it can't be trusted, then I won't.
Jared Broad
As the code running is identical the difference is the data 99% of the time. I'd recommend starting by going through your data folder and figure out what you might be missing. It's common to forget the corporate actions data (map and factor files) which are required to calculate adjusted prices and dividends. e.g. If you're missing dividends it can't calculate the correct adjusted price. In addition to price data, you'll need a source for corporate actions.
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.
.ekz.
Thanks Jared. This sounds logical.
I will move forward with running local, and keep your feedback in mind if I encounter any discrepancies.
Mislav Sagovac
1. So if, I get it rgifht, my algo uses sample data for spy saved in Data/equity/usa/daily/spy.zip?
2. If I use Lean I have to set up all data vendors by myself? Is ther any tutorial hor can I do that?
3. Is it possible to use Interacitve Brokers data feed in Lean directly via API?
Derek Melchin
Hi Mislav,
(1) Yes.
(2) Correct. There are currently no tutorials for this.
(3) Yes, this is possible.
Best,
Derek Melchin
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.
Mislav Sagovac
@ Derek, does the market data (say minute) have the folloeing structure:
date, open, high, low, close, volume
?
What about adjusted prices?
Derek Melchin
Hi Mislav,
Refer to the Data readme. For splits and dividends, factor files need to be created.
Best,
Derek Melchin
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.
Mislav Sagovac
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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