Hi,
I am trying to perform a backtest in Blueshift for the gap_up_down_strategy.
I loaded it as default but when I hit the "Run" button it doesn't perform any operation. I don't get metrics for return, alpha, beta, sharpe, etc. I can only see the Benchmark.
I tried to create a "New backtest" but it was the same result. No trades.
Image: gap-up-down hosted at ImgBB — ImgBB
Why is this?
How can I fix it?
Hi Guillermo,
Thank you for pointing this out.
It turns out that the 'gap_up_down_strategy' has not triggered any trading signals (buy/sell) for the stock 'AAPL' since September 2020.
Hence, the strategy returns plot remains stationary and all other performance metrics are displayed as 0.
In order to check the past performance of this strategy, I suggest increasing the backtest window by choosing a different start date for the same.
For example, you can try setting the start date as 1st Jan 2018.
Alternately, you can also try out the same strategy over a different stock.
For this, you can replace 'AAPL' in the below line with stocks like 'FB', 'GOOG', 'AMZN' etc.
context.security = symbol('AAPL')We will be updating the prefilled 'start date' on our end shortly.
Meanwhile, I hope this was helpful.