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Hi team,
This is to follow up on
https://www.quantconnect.com/forum/discussion/11200/backtest-result-started-changing-for-all-of-the-old-backtests
. I have attached a simplified version of the backtest. Overall the algo select the top 200 adv and then select the top 100 RevenueGrowth and finally select the top 5 momentum. It's currently selecting X, RMBS, SIRI, JNPR, QCOM on 2004-02-27 while it used to select X, RMBS, SIRI, MOT, JNPR in the old backtests (I cannot attach the old backtest as it contains the full code). Could someone help me take a look ? Any help is greatly appreciated.
Thanks,
Quan
Nguyen Huu Quan
This is another example with NetIncomePerEmployee, the backtest is currently selecting JNPR, TXN, SIRI, XLNX, DHI on 2004-01-30 while it used to select JNPR, TXN, SIRI, JDSU, SYMC in the old back tests.
Nguyen Huu Quan
Look to me the symbols affected are the ones that have changed its ticker (MOT, JDSU, SYMC are now MSI, VIAV, NLOK). Not sure what have changed about the way we handled those old tickers.
GEightyFour
Check if MOT, JDSU, SYMC currently have HasFundamentalData property set to true in the CoarseSelectionFunction, I'm having similar issues to what you are describing since last week.
Nguyen Huu Quan
Thanks Norman, I also started seeing this since last week around 15th Apr. Let me quickly debug and see the value of HasFundamentalData.
GEightyFour
Can confirm my suspicions:
Looks like a bug on the data end of Quantconnect.
Code snippet to copy paste into the CoarseSelection function to check yourself.
copy = [x for x in coarse]mot = Symbol.Create('MOT', SecurityType.Equity, 'usa')
jdsu = Symbol.Create('JDSU', SecurityType.Equity, 'usa')
symc = Symbol.Create('SYMC', SecurityType.Equity, 'usa')
check = {x.Symbol: x for x in copy}
Nguyen Huu Quan
Thanks GEightyFour . This is very helpful. I debugged and saw the same. And agree that this is likely an issue with the platform.
Jared Broad
We were able to reproduce the issue and are deploying the solution now.
We're very sorry for the hassle. We are doing a very rare migration at the moment to a new data processing design to keep up with the dramatically increased volumes that we saw in the February-March processing. The new stack runs 4-5x faster to ensure we'll be finished by the time the market opens. We, unfortunately, missed a bug in how the coarse universe files were generated. It only applied to backtesting as we were deploying the updates in steps.
Thank you for the help debugging, it helped a lot!
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Nguyen Huu Quan
Thanks Jared Broad and the team for the quick turnaround. It's working now.
Nguyen Huu Quan
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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