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The Open-Quant League is a quarterly competition between universities and investment clubs for the best performing strategy. Previous quarter's code is open-sourced, and competitors must adapt to survive.

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Jared Broad

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Marc Daoust

5.5k Pro ,

Jared; Today while running an algorithm, I noticed "parallel" as the Run Mode in the Backtest bottom panel. The documentation says that it automatically selects "Series" when selecting minute data. I then set the RunMode to Series in my code and restested - better results! Not sure if this is a new bug, or if I never noticed it before. Cheers! Marc.

Jared Broad

STAFF Pro ,

Hey @Marc -- thanks for letting us know -- I'm fairly sure that is just part of a parallel strategy, if you don't hold assets overnight the returns will be lower -- and if you sell stock at the end of a day, you'll incur higher fees. Were you trading an intraday strategy?

Marc Daoust

5.5k Pro ,

Thanks for the quick feedback Jared; Here's another bug: When running a new backtest and trying to look at the Log I get the following error: Warning: Invalid argument supplied for foreach() in processLoadLog.php on line 16 Earlier backtests today do not have this error.

Jared Broad

STAFF Pro ,

Good catch -- I thought I'd fixed this one! Obviously not! Will fix it tonight

Marc Daoust

5.5k Pro ,

I noticed the error was no longer there this afternoon when I ran a simulation - You may have fixed it earlier today before you saw my notice above...

Marc Daoust

5.5k Pro ,

Jared; Trying to use the new CSV trader project template. I uploaded a CSV file to my gdrive, being careful to replicate the DateTime format provided in the example csv (w IBM). I keep getting the following error: Error in simulation request: There were no tradeable days in the period selected (12/30/2099,1/1/0001) I adjusted the dates after my first attempt, but it does not seem to work... Here's my CSV file: https://docs.google.com/file/d/0By0JOTzSi6VDR0hTQ2gzTkhHVG8/edit?usp=sharing What am I doing wrong?

Jared Broad

STAFF Pro ,

Hey @MarcD'aoust! Glad to see you're trying out the template. The CSV looks fine but I think that link is to a web-page, not a CSV file itself. If you use dropbox the share-link will be for an actual file. One user reported another bug I'm still tracking down where it didn't execute at the ends of the day but your orders look fine. To test the share-link put the URL into a browser and if it downloads a file or shows a plain text list of orders you should be fine.

Marc Daoust

5.5k Pro ,

After having tried links from Google drive and Skydrive, I setup an account on DropBox and got it to work! It complained that one of the symbols "LIZ" was not in the database. Not sure what happened to the stock, if it merged with another or got delisted. I only had two xactions for it, so I removed them from the CSV, and now its running...so far 22% gain...

Jared Broad

STAFF Pro ,

We use a "perma-tick" system which gives permanent string symbol names even when the companies die and get renamed (system is from QuantQuote the data provider). We haven't made a formal page explaining this yet but you can see the full list of companies here: https://www.quantconnect.com/cache/QuantConnect-US-Equities-Asset-List.xlsx

Marc Daoust

5.5k Pro ,

Thanks, I'll look at it tomorrow... The CSV simulation finished with 27% aver the 12 month period. Somewhat different than my expectations. I have to review the xactions to see where the main differences may be. One is that I arbitrarily chose 9:50 to buy and 3:30 to sell. Since the xactions in the CSV are from an EOD system, the decision to buy or sell that day is not time sensitive, but price-sensitive (price limit) - I am working at translating my EOD system into your tick-based system - more on that later. I do however question the summary calculations on the right-hand side. It says 61 xactions, but in the log I count 200. Also what does Trade Frequency = 4 mean? Maybe I should look in the documention.... Regards; Marc.

Jared Broad

STAFF Pro ,

Interesting Marc -- yes please do question the summary stats. I have my doubts there and its on my todo list to review it. I think the left side is Buy-Sell pairs, but I should change that to be simple transactions. It still doesn't add up. Does the log-count match your CSV count? (i.e. did all your orders fill?). Trade frequency is a made up stat -- just meaning trades per day. If you look in QC.Common it returns an array of Strings-Decimal pairs, you can actually re-write the QC.Common handler and return any statistic you like. https://github.com/QuantConnect/QCAlgorithm/blob/master/QuantConnect.Common/Statistics/Statistics.cs

Marc Daoust

5.5k Pro ,

Jared; I got a new error when running an updated simulation algorithm: Error in simulation request: Algorithm failed to load. Ensure there is one class inheriting from QCAlgorithm and it overrides Initialize(). My code was running fine earlier today...

Jared Broad

STAFF Pro ,

All fixed @Marc -- we pushed an update earlier today to increase the maximum runtime to 12 hours.

Marc Daoust

5.5k Pro ,

Jared - sorry to report that I am still getting that error after rebuilding again. The CSV simulation builds and runs correctly, but the "MyAlgorithm" builds but then the above error appears after submitting it for a run. Does the include block or the class signature require any changes? Marc.

Jared Broad

STAFF Pro ,

No signature changes, I just re-ran the Order Processor Template and it works fine. I just saw the default new-file template will cause bugs, perhaps you added a new file recently? I'll adjust this template now. If you change it to use "Partial" classes for each mention of your algorithm it will work fine.

Marc Daoust

5.5k Pro ,

Jared; The error was an albatross with a red herring. I made the mistake of specifying an end date of Sept 31st - which is invalid! I tested this condition in the CSV simulator and got the same error message: "Ensure there is one class inheriting from QCAlgorithm and it overrides Initialize()." Took me a while to isolate the source of the error... Regards; Marc.

Jared Broad

STAFF Pro ,

Very strange! I tested the same end date and got a more applicable error: "Error in simulation request: There were no tradeable days in the period selected (01/01/2012,01/01/0001)" Perhaps you could use DateTime.Today.AddDays(-1) as the end date to avoid this in the future. Do you mind messaging me in private? I'd like try and to repeat your error message and write a more descriptive handler for it.

Jared Broad

STAFF Pro ,

By the way -- occasionally there will be delisted stocks not in the excel list above. We still have all the data but just need to update the database (and xls) to let it know whats available. If you come across missing symbols not in the XLS please post here and we'll double check we have it in storage.

Alix Claire Erie

627 Pro ,

Just want to let you know about an issue I am having:

I have defined 4 MOMP indicators all named differently (MOMP1, MOMP2, MOMP5, and MOMP14) in the same algorithm.

While the algo builds and backtests fine, the graphics on the charts freak out when I try to display stacked versions of the MOMPS. I am only able to view one plot at a time. Although a window opens for each plot, the plot says "Waiting for Chart". Although the chart I click shows up in the first window.

See the attached screenshot. (I first clicked MOMP1, then 2, then 14. MOMP14 is displayed, but in a window called MOMP1, and the other windows are blank.)

I don't really need a response, just wanted to let you know about a bug.

Alix Claire Erie

627 Pro ,

As well, referring again to the MOMP charts, it is a bit confusing because the y-axis is plotting units in $ format, but isn't it supposed to be % ?

Jared Broad INVESTOR

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