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I don't know where my losses are coming from, in this attached backtest. The overview shows 100% win rate, and $0 in fees. How am I losing money then?
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Arthur Asenheimer
The algorithm is losing money because you pay for the Bid-Ask Spread on every order. Setting the SlippageModel to 0.0 does not make the spread go away. For this you have to use negative slippage. In Python it would look like this in CustomSlippageModel class:Â
def GetSlippageApproximation(self, asset, order): spread = asset.AskPrice - asset.BidPrice return -float(spread)Â
Derek Melchin
Hi Robert,
If we hold a losing position that isn't liquidated by the end of the backtest, while that position isn't counted towards a "trade", we can still lose money on that position.
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.
Robert Christian
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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