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So I've been backtesting momentum factors on long-only unleveraged equities lately but noticed in my latest backtest the portfolio value catastrophically dropped to a negative balance? Why is this happening and what can I do to fix this? I had this issue occur on other strategies I have been experimenting before with but they are all unleveraged long only strategies. I don't usually expect investing long in stocks without leverage would suddenly bring your portfolio to a negative balance and get margin called out of the blue in a single day………..
Additional screenshot for reference:
Derek Melchin
Hi GEightyFour,
The algorithm above places market on open orders. On 2013-05-15, it calculates the order quantity of each security using the prices from the current TradeBar. There is a data issue with FBMS where the open price jumps from ~$11 to $180,321. As a result, the algorithm buys more FBMS than it can actually afford. Subscribe to the data issue here to be notified when it's resolved.
Best,
Derek Melchin
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GEightyFour
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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