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Attempt to Recreate Piotroski Score and Trouble with Backtesting Time
Thanh Duong
posted

Hi guys,

I am still very new to Quantopian and to programming as well. From these posts (https://www.quantopian.com/posts/modified-piotroski-score-on-ev-slash-ebitda-sort, https://www.quantopian.com/posts/piotroski-score-plus-aroon-indicator), I attempted to recreate a simple long-only Piotroksi score algorithm, and the performance seemed to be pretty good (despite terrible metrics). However, it took an insane amount of time to backtest. Is there any way to speed the process up?

Moreover, the return plummeted during the 2008 recession. In this post, https://www.quantopian.com/posts/modified-piotroski-score-on-ev-slash-ebitda-sort, Johnny Wu made a stop loss to minimize the impact, but I just can't understand how it worked. I am still very new to all this, so I really hope that you guys can help me know how to make a stop-loss.

Thanks all,

Thanh Duong

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