Hello all,
I've attached a backtest which covers the SPY historical period around 1999/1/1 and I notice some discrepancy between the LEAN implied close prices [in my case, held within a rolling window of daily prices] and my two reference sources, Amibroker + Trading view. My code aims to store the three prior daily closes within a 3 space rolling window, before applying logic to those three close prices. Applying the line break at line 36 within the debugger, I am able to isolate the SPY close prices implied by the algorithm, which are around 80, 81 etc, by watching the rolling window and my variable, self.ser[0] = 80 or so. The reference sources agree to one another and give me a 1999/1/1 daily close price of around 123.37 which is materially different from the LEAN close price. What am I missing here guys? Is this something to do with adjusted vs. raw data / implicit inflation adj? Many thanks in advance, Alun
Louis Szeto
Hi AlunÂ
We're using adjusted price for splits/dividends. To compare with 3rd party you may want to use Raw data by
Details in here.
Best
Louis
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.
Alun Thomas
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.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!