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A new quant needs some help
Ethan Dunlap
posted
Seeking Help Getting Started

Hello everyone, I am a new aspiring quant trying to get my feet wet. I do have experience in the finance industry with a certain company whos ETFs may be the ones traded in this algo, But I have almost 0 programming experience. For the last few months I have been going through python lessons on codecademy and finally decided to dive into the Quantopian platform and try to put together a simple re-balancing algo.

It seems that I have got the code functioning, but when I run a back test it seems like no orders are actually placed. I assume the problem is that my algo never makes the purchase for the initial investment of funds. I have been tinkering around with it this morning, but I still cant seem to figure it out, so I decided to turn to the community for help.

Basic idea of the algo is to monitor and re-balance the portfolio when ever it fluctuates more than 5% either way.

Any help would be appreciated

Thank you

2 responses
Chris Hall

print statements, lots of print statements. Whenever I can't figure out where there problem is, I write debug output under every if/elif and in every function, that way you know which part of the code is being processed.

Dan Dunn

Ethan - I cloned and ran your backtest, and I saw a lot of errors in the logging.

2011-01-04handle_data:2087 ERROR handle_data did not run to completion because there is no data for BND at 2011-01-04 00:00:00+00:00.

That meant it was never getting to your order code because it was bombing out with "no data" very high up in the code.

So I dug into that using the debugger, and I figured out that security2, BND, was resolving as "Boundless Corp." It was doing that because you had set the set_symbol_lookup_date for 2007.

I'm guessing you were looking for BND the ETF. I changed your set_symbol_lookup_date to 2011, and it now runs.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.