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I have been working on an opening-gap long/short algorithm, and believe I'm running into some unexplained anomalies during backtesting.
On 03/09/2017, my backtest performance shows a -66% decline in portfolio value. Looking at the orders, there is no explanation that I can see for this. No margin calls, no stops triggered, all buy/sell numbers match up, nothing looks off, I belive the day should have ended up slightly positive or neutral.
I'm pretty new to this, so maybe I'm making a mistake in my trading logic somewhere or missing some common stumbling block. Any help would be appreciated.
Karamazov
Sorry meant *03/09/2007.
Derek Melchin
Hi Christopher,
The fall in equity occurs because there is a data issue with one of the securities being traded, LUV. See the attached notebook for reference. We can see the ask price jumps from $14 to $105 within one minute. We've created a data issue to have this resolved. Track our progress here.
Best,
Derek Melchin
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Karamazov
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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