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Algorithms/Backtest vs Notebook Pipeline - different results
Jordan
posted Oct 18, 2017

All,
Am using the Fundamental/morningstar data. Pipeline is identical, dates as at 13 Oct 2017.

I'm pulling fundamental data including market cap and trailing twelve months earnings (by summing prior quarters), as at a few days ago (yes, dates are identical).

My results vary - certain stocks appear when I backtest but not in the Notebook. I've ruled out most causes (date selection, filters), and am now left believing that it's an issue with the Morningstar data. Conceptually, should the pipeline return the same items, or is there a known difference/issue with the Morningstar data? (Yes, using the new Fundamentals.)

In addition, also wondering what's the best way of debugging? i.e. identifying the tickers that Fundamentals.market_cap is returning, for instance.

Or, is it definitely just me... may need to take another look at the code with fresh eyes.

Thanks

1 response
Jamie McCorriston
Oct 18, 2017

Hi Jordan,

In general, the results of a pipeline should not differ between research and backtesting. However, we issued a fix to the new fundamental data last night, and it's possible that the research servers had a different version of new fundamentals than the backtest servers. Would you be willing to share your code with our support team? We can investigate the issue.

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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.