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Hi, I have a simple crypto trading algorithm that trades BTC, ETH and LTC. The backtest attached looks very weird. On Aug 6 2018, there is a spike on the equity curve that I can't explain. Also, it think my max drawdown in Aug 2018 was 99%. Can you take a look and see what might be the cause?
Thanks!
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Jared Broad
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.
Ke Shen
If it's flash crash, wouldn't my account value spike down instead of up? My strategy is long only with no leverage. How could a ~10k account go up to $2500k intra day?
Ke Shen
Another thing I found was that if I change the backtest duration to be July 1 through Aug 28, the spike shifted to Aug 9. So something is not right.
Ke Shen
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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