Share New Research 
Hi all
I wonder what's wrong with my backtest (see attached). It's my understanding that
self.SetBenchmark("SPY")sets the reference benchmark for the calculations in the statistics section. Nevertheless I get some positive Alpha of 0.142 (I assume this means 14.2% p.a.), even when I just go long the SPY:
if not self.Portfolio.Invested:
self.SetHoldings("SPY", 1)Furthermore, the beta is -0.049, shouldn't it be 1?
Is there anything I missunderstand? And if so, what do I have to do?
Many thanks!
Shile Wen
Hi Jason,
Beta calculations on Daily Resolution is a known issue, and we have yet to fix it. Since Alpha uses Beta in it's calculation, it's also wrong. To get a more accurate calculation, please use Hourly or more granular resolution.
Best,
Shile Wen
Jason McConnell
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