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Quick question. I just changed the config.json to MovingAverageCrossAlgorithm. It keeps telling me data not found. Do I have to change anything else? I was assuming it would work like the online one where it would just get the sources automatically.
public override void Initialize() { // set up our analysis span SetStartDate(2013, 10, 07); SetEndDate(2013, 10, 11);
// AddData<Yahoo>(Symbol, Resolution.Minute); // request SPY data with minute resolution AddSecurity(SecurityType.Equity, Symbol, Resolution.Minute);
// create a 15 day exponential moving average fast = EMA(Symbol, 15, Resolution.Daily);
// create a 30 day exponential moving average slow = EMA(Symbol, 30, Resolution.Daily);
int ribbonCount = 8; int ribbonInterval = 15; ribbon = Enumerable.Range(0, ribbonCount).Select(x => SMA(Symbol, (x + 1)*ribbonInterval, Resolution.Daily)).ToArray(); }
Jared Broad
Hi Frank! Because of data provider restrictions we can't offer a service like that yet -- but we're working on it :) For now you need to purchase your own data and install it in LEAN.
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Frank Juang
Hi Jared. I have an IQFeed subscription. I see that there is a IQFeedDataQueueHandler. Can you tell me what settings to change in config.json in this section?
I have already changed the iqfeed section. So, what do I change
"backtesting": {
"backtesting-desktop": {
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Charles Fort
Based on my extremely new understanding, the iqfeed thing is for live data streaming and trading - which while dope is not the backtesting thing you’re looking for.
I have not figured out how to backtest with iqfeed yet.. I think the backtester is mostly intended for processing filesystem data, someone smarter please correct me if I’m wrong
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.
Jared Broad
You should just need to change a few config settings.
// iqfeed configuration "iqfeed-username": "", "iqfeed-password": "", "iqfeed-productName": "", "iqfeed-version": "1.0", ... "data-feed-handler": "QuantConnect.ToolBox.IQFeed.IQFeedDataQueueHandler",And that is all -- it assumes IQFeed is already started in the background. You will need to be a registered developer in the IQFeed platform to use that data feed. It will only work for live trading. Backtesting via IQFeed is not supported.
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.
Shile Wen
Hi .ekz.,
Users interested in metrics not supported by web QC can save the portfolio values and do custom calculations in OnEndOfAlgorithm and print the results or retrieve the results of the algorithm as shown in this post.
I've shown how to the former method in the attached backtest.
Best,
Shile Wen
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.
Jake Sehnert
Is the PSR calculated using CSCV?
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.
Abhijeet Mulye
Longer duration backtests have higher PSRs. Is there a standardized time period for making sure an alpha has >= 80% PSR before submitting?
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.
Derek Melchin
Hi Jake,
No cross validation is used in the calculation. The formula is available in the notebook at the top of this thread. Implemented in Python, it is:
def get_psr(self, benchmark = 0): skew = sps.skew(self.returns) kurtosis = sps.kurtosis(self.returns) n = len(self.returns) estimate_std = np.sqrt( (1 - (skew*self.sharpe_ratio) + ((kurtosis-1)/4)*self.sharpe_ratio) / (n - 1) ) return round(sps.norm.cdf((self.sharpe_ratio - benchmark)/estimate_std),3)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.
Derek Melchin
Hi Abhijeet,
When submitting an alpha for Alpha Streams, the strategy must be backtest over the most recent 5 years. Refer to our documentation here.
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.
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