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Hi
When a backtest has finished, I can download the results in the overview page and receive a JSON file. I can find the backtest NAV under ["Charts"]["Strategy Equity"]["Series"]["Equity"]["Values"]. However, I am a bit confused about the format of the timestamps. I assume they are UNIX timestamps. (?) When I convert them to python/pandas timestamps, I observe that the NAV is only updated at seemingly random times during the day (even though my strategy is running using minute options data and only one trading event is triggered at the beginning of every month).
Here is a count of all hours where NAV updates are recorded (New York make):
Could you explain to me what is happening here? Is there a possibility to retrieve the NAV in higher resolution? I want to build a meta strategy with an ML model on top of it and the results are way too good. This makes me think that there is something wrong with the timestamps of the NAV.
Best,
nimrare
Louis Szeto
Hi Nimrare
Yes, they were in form of UNIX timestamps. The NAV data was logged whenever a Slice data was received, so if some of your data came in irregularly (e.g. Splits), an irregular data point would be logged.
Best
Louis
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Nimrare
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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