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How to benchmark a FX backtest against any of the available FX assets e.g. CHFUSD (or a basket of them)?
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Halldor Andersen
Hi Kamer.
You can use SetBenchmark() in the method Initialize() for a single FX asset:
# Use AUD/USD as benchmark self.SetBenchmark("AUDUSD")Alternatively, you can plot a custom benchmark using a Chart:
### In Inititalize() # Create a plot pricePlot = Chart("Portfolio benchmark") pricePlot.AddSeries(Series("Value", SeriesType.Line, 0)) self.AddChart(pricePlot) ### In OnData() # Create a custom portfolio benchmark pfolioBenchmark = 0 for ticker in self.tickers: # Create portfolio benchmark using equally weighted log returns pfolioBenchmark += self.w*np.log(self.Securities[ticker].Price/self.Portfolio[ticker].AveragePrice) # Add data points to plot self.Plot("Trade Plot", "Value", pfolioBenchmark*1000)I've attached a backtest where I demonstrate how to set a benchmark and also create a chart where I plot a custom benchmark using equally weighted log returns. Check out this documentation on Initializing Algorithms for more information on setting benchmark.
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.
Kamer Ali Yüksel
This is a great response, 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.
Shile Wen
Hi Zach,
The algorithm has many technical and stylistic issues, and since it seemed to be a popular algorithm, we've rewrote it to use the SymbolData pattern, replaced the History calls with RollingWindows, and fixed many stylistic issues. Please view the updated algorithm in the attached backtest.
Best,
Shile Wen
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.
Zach Oakes
Thanks ! It's very cool. It's like an MR take on Trend -- brilliant interpretation, and MUCH nicer than my translation.
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.
Mohamed Ajmal
How can we implement stoploss / reduce drawdown in this algorithm?
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.
Varad Kabade
Hi Mohamed Ajmal,
In the last backtest attached by Shile he has implemented the stop-loss which is triggered every day after 10 minutes of market open:
Refer to the following code snippet.
Best,
Varad Kabade
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.
Andres Arizpe
This appears to be a very interesting algo.
Is there any documentation I might use to get a basic understanding of it?
Cheers,
Andres
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.
Varad Kabade
Hi Andres Arizpe,
The above algorithm consists of components like the scheduled events, rolling window, and standard python libraries like numpy and pandas. We recommend going through the following docs[1, 2], and regarding the libraries, please look for their homepage/documentation. Please feel free to ask any specific doubts about the above algorithm.
Best,
Varad Kabade
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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