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Hi everyone,
I am new to this, I have done some basic codes and I am not sure why I do not get sensible win/loss ratios. I get 0 on both long and short. Anyone that can help me, please?
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Hi Vronghel,
An easy way is to use
var baseCurrency = (Securities[_symbol] as Crypto).BaseCurrencySymbol;var baseConversionRate = Portfolio.CashBook[baseCurrency].ConversionRate;var volumeInAccountCurrency = data.Bars[_symbol].Volume * baseConversionRate;
See the attached backtest for a full example.
Best,
Derek Melchin
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Matteo Orzes
Sorry the backtest is the one below. I have tried to edit the post but I failed.
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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