Diagnosing Null Prices and Empty Backtests in a Momentum Strategy

Summary

This forum post describes an attempted 12–1 momentum strategy on S&P 500 constituents and reports two backtest problems: target-percent orders repeatedly encounter null prices, and a visual workflow produces no instruments or trades. The strategy ranks stocks by returns over roughly a year while excluding the most recent month, then aims to hold a small equal-weighted basket. The author asks whether the order function honors the configured opening price and whether the platform supports US stocks.

The post includes SQL for historical index membership and lagged prices, alongside examples from two versions of the trading interface. It raises practical concerns about aligning signal data with tradable price data, date ranges, instrument identifiers, and module inputs. However, it does not include a reply or confirmed diagnosis, so it offers no verified fix and does not establish that the platform lacks US-market support. The log excerpts and code are troubleshooting context rather than evidence about strategy returns.

Key ideas

• The proposed strategy ranks S&P 500 stocks using 12–1 price momentum.
• The author reports null-price order messages and a separate run with zero instruments and trades.
• The post highlights the need to align signal records, instrument identifiers, and executable price data.
• The displayed code and logs do not establish a cause or provide a tested repair.
• No performance results or verified conclusion about US-stock support are given.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.