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Hello,
Could you please let me know why this backtest produced no trades. I'm relatively new to QC.
The idea is to have two universes: high and low PE, and buy or sell straddle depending on which universe the underlying is in. The trades are executed only on Friday (once a week).
Thank you!
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Louis Szeto
Hi Tigran
In Python, the weekday count starts at 0 (Monday), so Friday = 4 not 5. Also, the option chain at exactly 10:30 may not be complete, instead we recommend using a flag to signal Friday 10:30 and flag off after trade. Please refer to the attached backtest, I also fix some minor bugs.
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.
Tigran
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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