Procedure to set up automated backtests in notebooks.
Disclaimer: The original code was cloned from Tristan Rhode
https://www.quantopian.com/posts/finding-the-best-moving-averages-short-long-for-cross-over-trading-strategy
Automated Backtests
Wonderful!
I use your notebook and try to use the TALIB instead, but the output of Sharp is NAN. Quite strange.
Hi Thomas,
The problem was in these lines:
if context.i < long_mavg_days:
return long_mavg_days is a list set further down in the notebook. I changed it to long_mavg_day and it seems to work now.
Disclaimer
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.
@Jamie:
I cloned your notebook but got error as follow:
NameError: global name 'long_mavg_day' is not defined
But your analyse gave me a hint. So I do the following change:
...
short_mavg_dayss = [days for days in np.arange(10, 30, 10)]
long_mavg_dayss = [days for days in np.arange(20, 50, 10)]
...
And now it works.
Many thanks!
I've extended to a 3-dimensional parameters. I am sure my solution is not optimal. Hope someone could improve it.
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
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.