Copula Pairs - Hour Frequency audit

Attached another example, from my understanding this algorithm rebalances everyday?

Many thanks,

Best,

Andrew

The error is -

Backtest Handled Error: Order Error: id: 40, Insufficient buying power to complete order (Value:97865.1104), Reason: Id: 40, Initial Margin: 48935.575203376, Free Margin: 19948.036555804

Best,

Andrew

Another backtest attached.

I doubt the algorithm is correct as the portfolio weigthts of the instruments is not very balanced.

Running a report, states that most of the weight is in the XLK instrument (98.2%).

Also i was wondering if this regression is a rolling regression per day based on the look back period?

Many thanks,

Andrew

Hi Andrew,

Yes, this regression is a rolling regression using a 750-day lookback window. The first self.Schedule.On() call in Initialize(self) ensures that the regression and signal generation is performed every day at market open. As for the algorithm itself, the signal generation and trading signals are working properly. However, given that there aren't any event handlers for encountering margin constraints in the algorithm itself, what happens is that some market orders are invalid and dropped, specifically the last order for QQQ in this algorithm. Then, at the time the algorithm ends almost all of the non-cash value of the portfolio is in XLK and the resulting asset-allocation chart in the backtest report reflects this uneven distribution of the portfolio equity. This isn't the weighting scheme throughout most of the algorithm, just once the margin requirements are no longer met in order to place orders for both assets. You can see this in the attached backtest and view the logs and trade report.