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Hey everyone!
I wanted to make an announcement that we have officially merged an update to Leans sampling and statistics implementation. This PR brings improvements to our sampling and statistics building in Lean to more accurately reflect the daily performance values for algorithms of all resolutions.
Specifically we now sample as a scheduled event attached to the algorithm at 12AM each day only storing one value a day for performance and benchmark values. Then later in the statistics builder we take the benchmark values and generate a percentage difference between each day. Then when generating our statistics that take daily portfolio performance and benchmark performance into account we have a perfectly aligned set of samples to compare.
This brings a significant change to our regressions algorithms, which you can see in the PR details (165 files changed total) but this is expected. A great highlight of this improvement would be to look at a basic buy and hold algorithm of a security with the same security as the benchmark. What we would expect is the benchmark performance and daily performance to line up almost perfectly, this would result in a Beta value of ~1.
Below I will post a set of Backtests using different resolutions of this exact scenario using SPY.
Colton Sellers
Daily Resolution (Beta = 0.994)
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Colton Sellers
Hour Resolution (Beta = 0.997)
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Colton Sellers
Minute Resolution (Beta = 0.995)
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Laurent Crouzet
Hey Colton Sellers
Thanks for these explanations.
Is it the same during a LIVE simulation (for both long and short positions)? The discrepancy generated by different ex-dividend dates and pay dates used to generate different results previously.
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Colton Sellers
Hey Laurent Crouzet,
Of course!
Thanks for looking deeper into these cases, I'm glad its consistent.
As for your question, I'm not certain on the affect it would have in Live on those types of cases. 🤔 I will say that in general this change should be more accurate all around. I am curious though, I was not aware of those types of discrepancies.
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.
Laurent Crouzet
Colton Sellers
Thanks for your message.
The discrepancy I was referring to above is the fact that:
- for backtests, the dividends are simulated to be delivered on the ex-dividend date, even if, in the real world, the dividends are not received on the ex-dividend date
- during live (for instance in Alphas), as ex-dividend dates and pay dates are NOT the same, there were some pretty big discrepancies when there are dividend payments.
I proposed, as is done by Interactivebrokers which add “dividend receivables” to the real account as soon as the ex-dividend date, to do the same in live trading, even if the CASH dividend has not been really received, so that the returns (and Beta, and correlations…) are the same for at time the backtests AND live trading.
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.
Colton Sellers
Ah I see,
These particular changes were focused on correcting some issues with our sampling period and collection of values for our statistics and did not touch anything related to dividend application to the portfolio, but that is a very interesting issue. I'll have to look and see if we have an issue for that open on our Github. Sounds like it may be difficult to reproduce 🤔
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.
Laurent Crouzet
Thanks for your interest.
To reproduce the issue, you can check the dividend calendar and open a new position the day before the ex-dividend date (for instance, COP or FRC yesterday) and check what happens in “live” (or paper) trading (no dividend added).
Then a couple of days later, you can BACKTEST (with “adjusted” prices) the same investment on the same dates, and the returns will not be the same, as the backtest will simulate receiving the dividend by adjusting the price.
You can also check the same investment's discrepancy for shorts (in the real world, having a short position means paying the “short dividend”)
If I may help you for anything, please just let me know.
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.
Laurent Crouzet
https://marketchameleon.com/Calendar/Dividend
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 Peterson
Another idea for VIX strategy, low DD, high performance..
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.
GABRIEL PIQUE ROCA
Hello, I'm tryng to backtest alex meuci strategy until february 2018, because of termination of XIV and I can't. Runtime Error: A data subscription for type 'PythonQuandl' was not found. Also I want to test this strategy but only with VXX. short VXX under 0.95 and long VXX above 1.05. How I should write these code.
Thanks
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.
Alex Muci
Just tried to re-run the first algo I posted above (VIX by RSI) - by limiting the backtesting to end of Jan 2018 (i.e. self.SetEndDate(2018,1,20)) - and it did work as before.
Gabriel, why do not you try and use long positions in ZIV (which shorts mid-curve VIX futures, rather than shorting VXX) for a safer and, potentially, easier way to hedge vol spikes with either front VIX futures (now available) or VXX calls?
If I have time will try to post such an example later.
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.
GABRIEL PIQUE ROCA
Thanks for the advice, but I want to backtest the system with short VXX because I already have wich ratios VIX/VXX are optimal. How could I change the code to allow short VXX and long VXX. I'm still learning the documentation. Thanks anyway for the advice. Later I will try with ZIV.
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.
GABRIEL PIQUE ROCA
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.
Pangyuteng
RIP XIV and the 1+ billions that vaporated during the liquidation event.
That being said, I am reviving this thread. ;) added my fix on data retrival below (may still have bugs!), some minor refactoring, and lastly, switched XIV to SVXY.
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.
Pangyuteng
adding another version below. Summary of chages listed below:
+ as suggested by Alex, added "momentum" term based on increasing/decreassing z score of the vix/vxv ratio.
+ logic for long/short volatility is based on if vix/vxv is trending towards contago/backwardation based on "momentum".
+ provided 2 kinds of allocation style - aggressive and conservative.
Backtest performance of the 2 kinds of allocation are listed below (timeframe: 2012 to present).
# aggressive mode: PSR 41%, win/loss rate 59/41, max drawdown 49%, return 1573%
# conservative mode: PSR 34%, win/loss rate 57/43, max drawdown 18%, return 246% (displayed below)
Happy holidays.
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.
Andrés M
Ted that great coding Ted, thanks for sharing! ... got a good laugh looking at the code (braveheart vs babies with 30 year mortgage LOL)
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.
Sunny Nagam
Still new to this but learned the hard way to use the Open and not Close from the custom data imported. Lookahead bias is quite powerful! See Open vs Close performance below:
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.
Sunny Nagam
Tried combining momentum indicators along with the vix/vix3m and vix/vix9d ratios as a mesure of contango/backwardation (I've tried the futures term structure ratios but Quantconnect's futures system makes me want to pull my hair out). I use indicators on SPY since I belive it's the "underlying" and more represtative of the underlying market that ultimately affects VIX values, and technical analysis on a actual ETF makes more sense to me.
I used the SPY crossing sma as an exit signal for short volatility, and SPY macd as an exit signal for long volatility. I find that macd tends to "want" to switch every once in a while even when growth is sustained (but not gaining momentum) and provides too many false positives as an exit signal for short vol since the majority of the time the market trends upwards gradually, so I used sma as a kind of trailing exit. However for long vol I find that once the party is over you want to get out quickly before the spike crashes, so I attempt to use SPY macd as measure of momentum and an exit to get out and minimze losses.
Additionally, usually when exiting a long vol position, much of the time the market is recovering even if temporarily, however due to the lingering backwardation this recovery is not always reflected in a short vol ETP such as SVXY, so I take advantage of this period by staying in TQQQ.
If anyone sees something I missed or could improvme, or has thoughts to add it would be much appreciated.
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
I think you should add 1 day to the Time or set the Period = timedelta(days=1). You might be getting some lookahead bias with the custom data imports. I walk through importing custom data here.
https://www.youtube.com/watch?v=VCf9e0S4rDgThe 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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