QUANTCONNECT COMMUNITY
hi, can someone please help me understand how lean calculates runtime statstics. Not sure if it's just me but I can't find any documentation on this (specifically to the runtime statistics)
1. unrealized - assuming unrealized gain/loss on open positions?
2. fees - accrued fees?
3. net profits - is this net profit of the most recent closed trade?
4. returns - accrued realized profits? or add unrealized profits as well?
5. volume - no idea what this is?
Thank you!
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Arthur Asenheimer
Hi,
1. yes
2. yes, but doesn't include implicit transaction cost such as slippage
3. no, it's gross profit minus fees (accumulative, i.e. sum of realized pnl minus fees)
4. equity/start_balance - 1 (i.e. unrealized profits are included)
5. accumulative dollar volume of executed orders, i.e. sum(quantity*price for all orders executed)
Big Chai
Thanks Aruthur, do you know whether slippage has a big impact on returns usually? Let's say for equities, what would the slippage usually be in the order of? (e.g. 1%?)
Arthur Asenheimer
QuantConnect uses a slippage model with 0.01% slippage by default. So slippage will not have a big impact on returns as long as you're not doing something like high frequency trading where every price tick and every microsecond counts.
Derek Melchin
Hi Big Chai,
By default, equities are backtested with 0% slippage. However, we can create a custom slippage model to adjust this percentage.
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.
Big Chai
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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