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odd behavior - OLMAR algorithm & commissions

Here's a backtest w/ 0.99 per trade cost. My next post will be for $1 per trade cost.

Why such a dramatic difference?

--Grant

Clone Algorithm
1367
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5163384049d182070bd5c01b
This backtest was created using an older version of the backtester. Please re-run this backtest to see results using the latest backtester. Learn more about the recent changes.
There was a runtime error.
6 responses

Backtest for $1 per trade cost.

Clone Algorithm
1367
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 51633b9b49d182070bd6a7fa
This backtest was created using an older version of the backtester. Please re-run this backtest to see results using the latest backtester. Learn more about the recent changes.
There was a runtime error.

This seems to be a bug. Try using "1.0" instead of "1". It is handling the float and integer differently.

Hello Grant,

Try using 1.0 instead of 1. Something to do with casting (or not) ints to reals, perhaps.

Regards,

Peter

Thanks Dennis and Peter,

I've attached the backtest with $1.0 per trade (instead of the integer $1 per trade)...a much improved result! A bug, it would seem (with the implication that members haven't been too concerned with trading costs, to-date, since one would expect that the bug would have been found by now...hmm).

Grant

Clone Algorithm
1367
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 51635ed9973ea9066024a0d3
This backtest was created using an older version of the backtester. Please re-run this backtest to see results using the latest backtester. Learn more about the recent changes.
There was a runtime error.

I just noticed it for the first time today. No idea when it started.

Thanks for this bugfind Grant!
It is indeed a rounding error. We normalize the cost into a per share commission by dividing the trade cost by the shares traded, but we don't force the cost to be a float first. I filed a zipline bug for the problem: https://github.com/quantopian/zipline/issues/128

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