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US equities 3.2 Sharpe Intraday algo

Hi,

I would really appreciate some feedback for this algo.
It is an intraday algo, all position open and close within the same day.
Starting capital for the backtest is 12,000$.

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7 responses

What did you use as slippage and commissions?

And what do you think will happen when the rates go up again, can you run a longer Backtest? From 2004 or so(you prob need to adjust your assets before 2012)

I have not set any commission or slippage in the code.
Are there any defaults that Quantopian sets ? if not then which values should I set to get a realistic result ?

Thanks.

I think it is hard to really evaluation since you have estimate_intraday=True, and it pulls data at day end, hence I am not sure how reliable the beta, exposure, lev, concentration etc. measures are in these tear sheets ... a problem I have ran into the reliability of these tear sheets a few times. I ended up building out a seperate tear sheet that digs deeper into the algo trades/returns however it became a nightmare to keep it running with all of the changes on the Q platform in relation to what we have access to and what not.

The transaction time distribution shows partial fills sometimes all day.
99.91% of the time that means margin is happening, would explain the high Sharpe.
In the backtest, please apply the second version of https://www.quantopian.com/posts/margin which makes an effort to model margin costs.
Super easy to use. The result might not be very bad at all, that would be terrific, or could be surprising.
Discovering any possible flaw, rather than making us feel awful, should give us a dopamine rush since they can be resolved to move us out of a cul-de-sac and on the road again.

@Blue_Seahawk
Thanks for the tip. I ran another backtest with the second version of your margin charting code.
Night_Margin - 0
Ttl_Cost_Mrgn - 0
Avg_Mrgn - 0

PnL and PnL_w_Mrgn were equal the entire time.

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No margin, no worries about overnight margin at least (measured by that), awesome.
It's possible there could be headroom for more profit, this will let you know.