Share New Research 
regards to everyone,
range bars that allow for gaps are the most important upgrade that could be made to the qc platform at this time.
i share some screengrabs below for a performance report for a strategy of mine placing long and short positions of 100 amzn shares from 01-I-2013 to date. a number of strategies i have developed would also be profitable on other bar types, but only range bars will deliver this kind of results.
i don't think that implementing range bars that allow for gaps would be too big a challenge for the numerous professional programmers using qc. this kind of bars are very widely used and every serious trading platform makes sure to include them (there is an outstanding trading platform based on c# which features several advanced bar types and i think that their structures could be used as templates for the implementation in qc).
very well, thanks, regards.
Erik Bengtson
I think it will be quite simple to implement.
Subscribe to Quote/trade bar
Add a Rolling indicator
Compute the current bar, once the bar is complete, roll it
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.
Jack Simonson
Hi Marcos,
Currently, we don't have a Range Bar Indicator. We've added this to our to-do list and hope to implement the Indicator soon. You can track the progress of this by viewing the issue in GitHub here.
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.
James Smith
I guess you're talking about Lean in general: Jared would be the best person to help. The thing I'm referring to is a tool that allows you to optimize algorithm parameters with a genetic learning pattern.
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.
James Smith
Edit: last comment should have been @Larry Smith
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.
JayJayD
Hi there,
Based in the awesome work made by James Smith and this tutorial, I implemented a project called LeanSTP, which is able to run multiple Lean instances in parallel.
The only significant difference respect to the work done by James is that the parallelization is outside the genetic algorithm environment, the output is saved as JSON and the Log file is saved for each run. The default folder is Public Documents
The core to configure the parameters lays in this method. In this the example, the algorithm runs some combinations of EMA periods and runs multiple instances of the ParameterizedAlgorithm.
But IMHO, optimizing backtests is a bad idea. Is relatively easy to find an optimal strategy, even for a pure random walk, and The higher the number of configurations tried, the greater is the probability that the backtest is overfit. I guess you can calibrate some parameters without hurting so much the out of sample performance.
Anyway, I hope someone find this helpful.
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.
James Smith
The papers you've highlighted are very interesting, and cross over into some of the research areas I've been tackling. I think the GeneticSharp library that my optimizer references uses a similar approach to the smart thread pool in order to achieve parallel backtests. It's useful to have a trimmed down execution model for just this task.
In terms of the concept of backtest overfitting in general, this is certainly a problem. I would not recommend trusting an optimal result from just in sample data: rather its advisable to take multiple in samples and/or validate against an out of sample set. It's for this purpose that I've recently completed work on an optimization Batcher, that will automate the process of walk forward testing across multiple periods.
On a more general note, I think whilst there is not a (proven) efficient alternative, backtesting against historical data produces the most useful results. The main area of concern for me is that Sharpe ratio alone does not sufficiently account for overfitting. It may be that a balanced compromise can be found in moderating Sharpe ratio by (for instance) the volatility of returns. This is one of the reasons that I'm trying optimizations against some of the other Lean statistics using the ConfiguredFitness class that's now been provided inthe optimizer project. It may be that customized fitness measures could be the the arena for genuine innovation in this field.
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.
JayJayD
I like the use of “multiple out of sample” periods. Do you have any idea of how to implement it? Thinking out loud, I imagine the following scenario: there are many periods of out of sample data (OOSD), say, a random month for each year in the optimization period). Then every time you run an OOD test, a month is selected randomly, or maybe many. Maybe in that way we can avoid (in part) the problem of systematic use of the OOAD, that ends up in more overfitting by incorporating the OOSD as in sample data, but in a second stage.
I know backtests are useful, the point is not to fool yourself.
Respect to the statisitcs and the fitness formula, I can’t agree more, is the truly art of the whole process... and the secret sauce ;)
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.
James Smith
Its been quite clearly established that the singular Sharpe ratio and naive in-sample backtesting are probably a pestilence at the level of an epidemic.
My personal position is that the accepted terms in use already precludes the possibility of a "holy grail". We’re drawn to such illusions by the bewitching flaws of language and the beguiling form of mathematical notation.
Either you can build firmer foundations on this unsteady ground, or you can dig deeper and discard the entire existing edifice.
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.
Ian Worthington
Is % profit not a good measure? I understand drawdown etc, but with forward-testing you've implemented, this would be my first choice. Money is the point right?
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.
Jared Broad
% profit can also be misleading as the order of returns matters.
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.
James Smith
Return can easily be misleading when an optimization fixates on a single rare event. This is less an issue when drawdown is taken into account.
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.
Ian Worthington
Got it, thanks guys :-)
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.
Thomas Groenhout
Any progress on running parallel backtest in the cloud?
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.
James Candan
I'm very new here and to trading in general, so please excuse my ignorance. Is this basically equivalent to MetaTrader4's ability to run a backtest with inputs set to a range (e.g. start, step, end) and run through each combination of that range to identify the settings with the best outcome? I was really hoping this was part of QC/Lean out of the box. Is running it on a local machine really that intensive that it should be done on a cloud instance instead? MT4's optimization didn't seem to be too slow as a desktop client. I know MT4 has a "genetic" optimization option that I haven't looked into yet. Does LeanOptimization not have a non-genetic optimization option? What am I missing?
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.
Thomas Groenhout
James Candan, I'm kind of new to QuantConnect, but as far as I can tell, it's not too hard to run LEAN locally. The problem is that you'll have to constantly download new data if you want to be backtesting on current data.
Everyone, please correct me if I'm wrong.
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.
Petter Hansson
^That's accurate. I've had to resort to doing some things locally (e.g. intraday charting) in cases where data is available for download.
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.
Drew Baker
Jared Broad you said we′rejustf∈ish∈g∫eractivebrokerslivetrad∈gandthenwilllaunchit〉 back in March of 2015. Did this ever get pushed out? I'd love to be able to run a backtest with a range of variables and see which works the 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.
Michael Manus
of course, check the main website and scroll down
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.
Drew Baker
Michael Manus I meant the optimzation features, not the interactive brokers features... I don't see anything about that on the home page.
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.
Michael Manus
oh sorry I misunderstood you
i think it got delayed because of the many problems of overfitting strategies and more urgent things
but it seems james is still working on it when i check the commits on the optimiztion project
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.
Jared Broad
Its a work in progress; we recently changed our cloud architecture to make this possible so we'll be adding it in 2018 -- please feel free to follow along with the dedicated project here. Our general motto is bugs before features so it has been delayed slightly.
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.
James Smith
"Can we actually run parameter optimizations in local"
Ben, I've provided some information regarding this previously in this thread.
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!