I moved from online development to offline development and installed the toolbox, but when I run my code I get:
KeyError: cannot represent labeled-based slice indexer for coordinate "time" with a slice over integer position
All what I am doing is loading data....any hint on this?
Hello Quantiacs, I believe your slippage model is not so good. I see in the official rules:
"A transaction fee of 4% * ATR (14) is deducted for every change in position size of a position. This simulates the impact of slippage and commissions. When calculating slippage and commissions, the sponsor reserves the right to use individual ATR (14) indicators for each type of financial instrument, but not more than 10% * ATR (14). ATR is the Average True Range over the last 14 days."
However, you are not taking traded volume into account. The larger the volume, the smaller the slippage.
Hi guys, interesting idea adding a BTC Futures contest, but what is the connection with the Futures one? Anthony
I tried to submit a system, Sharpe ratio in sample is clearly larger than 1, but after submission it was rejected and I got a message telling that the Sharpe is not larger than 1, even if I can see that is more than 1, how can it be? It is just a naive copy of your Q16 template....