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Hey Quants,
I implemented a basic momentum strategy based on the QC-500 index. The strategy just buys the top 5 stocks with the highes MomentumPercent indicator of the last 130 days and rebalances every month.
On the first glance the strategy performed as expected. But, by having a closer look on the orders I found some strange behavior and started digging into the details.
The strategy buys the stock "GOV" on the 2019-01-02 with a very high MomentumPercent indicator value of 90%. At the same occurence the "GOV" symbol was changed to "OPI" along with a split adaption of 4:1. See here:
https://www.marketwatch.com/press-release/government-properties-income-trust-announces-the-completion-of-its-merger-with-select-income-reit-2018-12-31#targetText=The%20company%20will%20begin%20trading,of%20The%20RMR%20Group%20Inc.According to the charts, the MomentumPercent indicator was at -50% on the 2018-12-28. According to the algorithm the indicator jumps to 90% on the 2019-01-02.
I attached a simplified code which just contains the "GOV" symbol.
The indicator seems to be not calculated right, when in comes to SymbolChangeEvents. Which leads to wrong results in the algorithm.
Does anyone know how to fix this problem?
Thx.
CU
Daniel Chen
Hi ES,
Thank you for your post. It seems like a data issue and please report it here. We'll look into this issue, thank you!
Eugene
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