A little trick to plot the Benchmark

Nice visualization thanks

Thanks for this. Presumably the benchmark data is using the same resolution as the symbol's resolution? What if you had an intraday strategy using minute data but wanted to graph the daily benchmark value (to abide by the 4000 data point limit)?

Thanks Guys!

Kyle Unknown The data resolution doesn't matter. You can simply call the function once a day to plot the close to close of the benchmark. This self.Benchmark.Evaluate(self.Time) will give you the current value of the Benchmark at that time so it's up to you when and how often to call that function!

Emilio

InnoQuantivity.com

That makes sense. I was able to make that work in a test algorithm and I am definitely going to add this to all my others.

Great to hear Kyle Unknown !

It is indeed a very usefull feature to have.

Emilio

InnoQuantivity.com

Hi! Your function worked perfectly fine when I cloned your algorithm, but when I tried incorporating it to one of mine that uses simple technical indicators, I encounter an error:

:: self.benchmarkValue = (currentBenchmarkPrice / self.initBenchmarkPrice) * self.initBenchmarkCash
ZeroDivisionError : float division by zero

I've no idea how it's ending up dividing by zero.

Btw in the attached backtest, I had to comment out the self.plot in OnData in order for the algorithm to produce a backtest.

Thanks!

Hi Vncne,

To resolve this, we need to place the `IsWarmingUp` guard above the call to `UpdateBenchmarkValue` in OnData.

See the attached backtest for reference.

Best,
Derek Melchin

This is just what I was looking for and it is really helpful. Thanks for sharing!

Hi Brandon Leonard !

Glad you found it helpful :)

And even cooler, if you do something like the below, you can control the direction of the Benchmark (long/short) and its exposure as well. You could set self.benchmarkExposure to -1 to short the Benchmark or even -0.5 to simulate a short 50% exposure to it, etc.

def UpdateBenchmarkValue(self):
        
    ''' Simulate investing in the Benchmark '''
    
    if self.initBenchmarkPrice == 0:
        self.initBenchmarkCash = self.Portfolio.Cash
        self.initBenchmarkPrice = self.Benchmark.Evaluate(self.Time)
        self.benchmarkValue = self.initBenchmarkCash
    else:
        currentBenchmarkPrice = self.Benchmark.Evaluate(self.Time)
        lastReturn = ((currentBenchmarkPrice / self.initBenchmarkPrice) - 1) * self.benchmarkExposure
        self.benchmarkValue = (1 + lastReturn) * self.initBenchmarkCash

So cool! I learned a ton from this!!!

Thanks and best wishes