Share New Research 
Hi, just wandering if anyone else was having this issue.
I know I'm not a programmer (I'm a finance guy) but developping an algo on QC is incredibly/slow painful for these reasons:
- Launching a backtest takes AT LEAST 20-30 seconds each time. And when there's a bug (which happens 99% of the time for a newbie like me) it gets really annoying
- The Research app only allows to test certain aspects but not all of the code. For instance, universe selection is not possible. Consequently, selecting a universe requires multiple backtests which brings me back to point #1
- The website itself is super slow.... as if the display was way too crowded. Im running on this setup
So I'm posting this in the hope that someone could tell me that I'm 100% wrong with a list of tricks and ways for me to do things better. Basically, I want someone to tell me I'm an idiot and prove to me why. Thanks in advance,
Jared Broad
Hi Stephane, sorry you feel like that. It will never fast enough for us, we are doing active research to make it faster. We are even posting bounties to open source contributors to improve the performance. We record the performance of every bit of code and are working to improve them.
There might be a specific issue with your algorithm that we can improve. Please feel free to send it through here and we can suggest optimizations.
What browser are you working on? It should be snappy in Chrome -- but we have noticed people with hundreds of backtests have issues even in Chrome. You can avoid this by not optimizing parameters via backtest.
It might not be much comfort but if the backtest spin up takes a while; remember to factor in the time you'd otherwise spend:
On average we're saving you about 2 years =D vs 30 sec backtest spin up. We'll get that to 5 sec, and we'll add debugging, it just takes time.
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.
Stephane b
Hi Jared and, as always, thanks a lot for taking the time to reply.
#1 Glad to hear that im not an (complete) idiot. In other words, I don't seem to be the only one in this situation.
#2 I completetly agree with you: building my own plateform would take MUCH longer than what im doing right now.
To answer your question: Im using Chrome.
In the end and don't get me wrong, as I once said, I believe QC has a superior product than many of your competitors and that it why I use it to code. I just wish there was a faster and more efficient way to develop (I dare say: Learn to code with LEAN). I think, in the end, being able to use the research app more broadly would probably end up freeing server power for you guys and speed things up for us... does that make sense ? I mean, I think we would all win with a faster/more efficient developement tool and test the final product with a few backtests.
Again, thanks a lot for your time and for building this plateform which I humbly think has a lot of potential.
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Jack Simonson
Hi Stephane,
Our engineers have updated LEAN and the system (specifically the versions of Mono and PythonNet) which has sped things up a bit, and we're making some front-end updates which we expect to result in performance improvements. You can track the progress of these changes and any updates on GitHub.
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.
Stephane b
hi Jack,
I just wanted to thank you for taking the time to update us on the progress. What you guys are doing is not simple but it is extremely appreciated.
Best,
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.
Muthu Kumar
In my case, the execution (backtest) seems to take forever (minutes). The deployment takes ~15s or more. Any ideas?
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Douglas Stridsberg
Muthu, I'm assuming you mean the initial warmup phase of the process? It could be down to the load on the backtesting nodes at the time you submitted the backtest. I find, in general, that live servers are a bit faster than backtest nodes.
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.
Muthu Kumar
Ok, it is still running. It was deployed around
10 | 23:53:53: Backtest deployed in 14.63 seconds
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.
Muthu Kumar
just terminated it. Please see what went wrong. New back tests taking longer time too. I was trying to log strike deltas for 2018. May be too much datapoints?
2 | 09:46:49:
Algorithm Id:(486cadc9af0c5a4e5935c8e7debefb9f) completed in 22255.59 seconds at 19k data points per second. Processing total of 421,425,028 data points.
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.
Artem Seredyuk
IMHO current problems of QC is not in backtest lags, it's bit annoying but I you can live with it. It's more like your number 2 - you use backtests one after another just to put 2-3 additional self.Debug() calls to better understand what's going on inside. And I clearly see what can help:
1. Live debugging obviously
2. Get more typical examples available. Becauce every newbie doing same things before he understands. You got code for screening QC500 universe but I spent hours to understans how to enumerate all securities from that universe on daily basis. I got couple solutions and got no idea what is more efficient (ActiveSecurities list, UniverseManager class, simply storing in self.symbols after fine filter). For some reasons I couldn't get historical data for that universe unless I call AddSecurity for every new symbol etc.
Don't get me wrong Jared, I'm not complaining. You guys doing work and I know you hiring to get it done faster -just some perspective from other end of the pipe.
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.
Stephane b
Artem: YES !!! I went through the exact same thing. I agree 100%
(I literally went through the exact same situation with the universe management and AddSecurity stuff)
I hope those comments are taken as constructive because, I repeat myself, I believe QC has a far better product than most of the competitors... we just want to be able to code on it efficiently and take full advantage of it.
thanks
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.
Douglas Stridsberg
Muthu you're processing nearly 500 billion data points, it's not going to get much faster than that I'm afraid. Perhaps it's worth looking at why you're using so much data and if your algo can be optimised to use less than that?
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Muthu Kumar
Didn't realize the options data resolution is Minute only. I was trying to get familiar with options related API
and logging strike, price, greeks etc. for 1 year time frame! :)
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Charles Naccio
One thing I can recommend from our experience is to code the final backtest in C# instead of Python. For our backtest, switching from Python to C# literally sped things up 40-50x; it was night and day difference.
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Karthik Kailash INVESTOR
Charles Naccio can you share some more about the performance difference? Attaching a backtest from each would be ideal if it is possible. Were you doing a lot of heavy computation? I decided on sticking with Python because of the wider availability of libraries, but if the speedup is that dramatic I may need to rethink.
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Charles Naccio
I can't post examples of the algos, but what I can say is that we're trading ~2,000 stocks in our daily universe with minute level data. We basically monitor price action throughout the day on a large number of stocks, and trade those intraday that match certain patterns. At the end of each backtest, you'll notice in the logs that it says "Processed x datapoints in y time." The datapoints per second increased 40-50x for us. It was an incredible difference. Given the sandbox like environment that algos run in, it seems C# just runs way faster. For smaller algos, I don't think you'd notice nearly as much of a difference, and in that case sticking with Python probably makes the most sense.
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Pier-Olivier Marquis
It's not necessarily about the computational speed. The algorithm is counter-intuitive and, in my opinion, a mess. First of all, getting some stacktrace in C# that do not even tell you where in your code there is an issue is really annoying. Starting a backtest just to debug one variable is excruciatingly slow. Second of all, the universes are terribly inefficient. Quantopian could do a universe selection backtest on the entire U.S. equities in 20 minutes or less while Quantconnect takes hours. Ironically, Quantconnect always boasted that they were faster than Quantopian. Well, it doesn't matter if your algorithm has a poor design. At this point, it would probably be better to rewrite the thing in python and use modern data analysis libraries. The whole process doesn't make sense: register indicator, tradebar consolidator, check if the data is ready. These are all things that do not need to be and make it complicated to develop on this platform.
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Franky
A quant framework that I used in a quant community about 10 years ago could do around 20 backtests per second for 25 years of hourly data. Utilising a GPU increased it to 1000. Quantconnect can barely do 1. So yeah, it's definitely not built for performance.
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September
The whole process doesn't make sense: register indicator, tradebar consolidator, check if the data is ready. These are all things that do not need to be and make it complicated to develop on this platform.
So much this. I have never in any other backtester, whether my own DIY scripts or other platforms, had hair tearing frustration just trying to pass the OHLC values around between libraries. It's a completely trivial and common place thing to do, but on QC it's abstracted to the moon and back and there's no good documentation.
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Nathan Swenson
I'm thinking to set up the live trading, but to use it with paper trading just to get the signals in real time. I guess it would be better if it alerts ahead of time, like at open that there will be a trade at 2 hours after open. Because this strategy has so few trades, it's easy enough to just do the trades manually. I'm thinking I'll use a small amount in futures to trade NQ and ZB pair and my TD Ameritrade self managed 401k with a more conservative setup.
Regarding the Alpha Competition, this version qualifies with 84% PSR (Alpha score). Peter, you should think about entering it. You did all the work. I'm just playing around with for consideration of using for my own accounts.
Regarding the high results above, that was without any Margin. So if you wanted to go crazy, you could add some margin to it, or simply trade non-Leverage funds but lean more on margin.
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Nathan Swenson
Screen shot of the end result.
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Nathan Swenson
Sorry for all the posts. Having trouble posting screen shots when working from an IPAD.
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Mateusz Pulka
Tien Duy Vo Peter Guenther
I have spotted this bug also, the problem is here (the loop is run outside the if statement):
if not self.be_in:
# Close 'In' holdings
#for asset, weight in self.HLD_IN.items():
# self.SetHoldings(asset, 0)
#for asset, weight in self.HLD_OUT.items():
# self.SetHoldings(asset, weight)
wt[self.STKS] = 0
wt[self.TLT] = .5
wt[self.IEF] = .5
# Thomas's reducing unnecessary trades
for sec, weight in wt.items():
cond1 = (self.Portfolio[sec].Quantity > 0) and (weight == 0)
cond2 = (self.Portfolio[sec].Quantity == 0) and (weight > 0)
if cond1 or cond2:
self.SetHoldings(sec, weight)
The for loop will be fire every time even if we set self.be_in to false. The correct version is:
if not self.be_in:
# Close 'In' holdings
#for asset, weight in self.HLD_IN.items():
# self.SetHoldings(asset, 0)
#for asset, weight in self.HLD_OUT.items():
# self.SetHoldings(asset, weight)
wt[self.STKS] = 0
wt[self.TLT] = .5
wt[self.IEF] = .5
# Thomas's reducing unnecessary trades
for sec, weight in wt.items():
cond1 = (self.Portfolio[sec].Quantity > 0) and (weight == 0)
cond2 = (self.Portfolio[sec].Quantity == 0) and (weight > 0)
if cond1 or cond2:
self.SetHoldings(sec, weight)
The same should be applied in second if statement.
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Mateusz Pulka
Sorry some kind of formatting problem. Generally the for loop should be move inside the if statement as Tien Duy Vo pointed out when algo starts and be_in paramter is true we will buy long and short at the same time.
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Nathan Swenson
I'm sorry, I don't know Python. I don't see any difference between your code blocks. Is this mistake resulting in inflated results due to margin usage?
Edit: Didn't see your last response. I will wait for a Python coder to update it. I only know C#.
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Mateusz Pulka
Sorry for formating problem. The code should look like this:
https://pastebin.com/cnKm9BVYinstead of this:
https://pastebin.com/pPcGFKR0The 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.
Nathan Swenson
So the issue pointed out by Gpw radar and Tien Duy Vo only occurs if "be_in = true" at the time of start. I don't see any issues with my order when ran from 2008 to 2020. It would seem that the results for mine are correct. I was worried that the results were invalid.
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Tien Duy Vo
gpw radar : Thanks for pointing out. Great job. Unfortunately, the backtesting framework on Quantconnect seems to be much slower than on Quantopian. It is quite difficult to debug that way.
There is another issue related to this part of the code:
self.Schedule.On(
self.DateRules.EveryDay(),
self.TimeRules.AfterMarketOpen('SPY', 120),
self.rebalance_when_out_of_the_market
)
self.Schedule.On(
self.DateRules.WeekEnd(),
self.TimeRules.AfterMarketOpen('SPY', 120),
self.rebalance_when_in_the_market
)
Here, the algo is firing the two functions rebalance_when_out_of_the_market and self.rebalance_when_in_the_market, which is responsible to get "in" and "out". However, you can see that one is started every day and the other one at weekend. I wonder, whether this is done on purpose.
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Mateusz Pulka
You are right Nathan Swenson it only occures once at the begining when you start algo and when flag in is set to true. For example check out your orders when you set the star date at 1st January 2018. It is not a big deal but worh to fix it.
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Mark hatlan
Great work! This market timer does a really nice job.
However TQQQ does do way better than SPXL. SPXL starts on 11/03/2008. UPRO starts on 6/28/2009. TQQQ starts on 2/7/2010. When switching the start date to 2/7/2010 here are the returns:
SPXL +7,552%
UPRO +7,180%
TQQQ +19,859%
I think SPXL only looked better because of the earlier first trade date.
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Nathan Swenson
Thanks Mark! Good point!
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Aalap Sharma
Relativily new to all this and I would really like to know are these returns realistic in the real markets? Has anyone deployed such algos to the market and seen healthy returns. Just curious...
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Nathan Swenson
Aalap, I just turned the algo on and entered TMF. We shall see soon enough. I'm going very aggressive with leveraged products. It should be very realistic as it only trades about 10 times a year with trades just 2 hours after RTH market open. Algo is entirely in treasury bonds at the moment.
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Aalap Sharma
Cool! I was thinking the same :)
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Mateusz Pulka
Hi Guys,
I have added some improvments to the code and please noticed the result. So first algo has improvment in terms of open the trade at the begning of the cycle when we start the algo. The return for 2010-2020 is: 16 772%
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.
Mateusz Pulka
The second run contains the following improvement. I just want to generate a signal about in/out just right after the open market. But open position just in the same way as the original algo. What is surprising the result is 21 011%. I am a little bit surprised about this, to be honest. Any idea where this difference comes from?
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.
Nathan Swenson
Gpw Radar, I see it takes more trades when you check signal at open. Perhaps it's due to increased volatility at open which is more likely to trigger needed deviation. The 2 hours after close is actually European market close for which there is often a ramp up in index price. I had thought about messing around with that as even 5 minutes makes a difference in that period. I know 2hrs and 5 min is significant. The timing of entry vs exit and asset type all matter. Bonds seem affected more at open, mid day, and close, while 2hr after open seems more significant for equities. Lots of opportunity for improvement I believe with timing alone.
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.
Mateusz Pulka
please notice that I only generate a signal in/out 1min after the market is open and then after 120min I open the position base on the signal. I have noticed that as I used IB with the cash parameter some of the orders were not filled (lack of money) and the order was later sometimes even 5 days later.
Peter Guenther Have you tried to use futures instead of etf to generate the in/out signal?
https://finance.yahoo.com/commodities?.tsrc=fin-srch
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.
Nathan Swenson
Gpw, perhaps the delayed order in due to transaction order. I often see that the buy order is executed before the sell order for prior holdings. This probably needs to be fixed.
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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