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Hi Community,
I am currently testing a short algo on Binance data with a Crypto Universe Selection. On an hourly resolution the algo works quite well but when I switch to minute resolution (which I would prefer) some Huge Ask/Bid “jumps" destroy my backtest and results in negative portfolio values. I did some digging in a research notebook and found this anomly for BTCUSD as an example (lots of other anomalies):
Has someone managed to backtest a short strategy on binance/other crypto platform? Or any suggestion how to avoid these big price jumps?
Cheers
Pascal
Derek Melchin
Hi Pascal,
Please create a data issue and we'll fix it as soon as we can.
Best,
Derek Melchin
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Martin Molinero
Thanks for the report nodeflow GmbH !
We have let the data provider know about this issue, just to clarify the issue is on CoinBase BTCUSD
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.
Nodeflow GmbH
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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