Calibration of algos?

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Calibration of algos?

posted Dec 18, 2014

Hi guys,
How do you calibrate the parameters of your algo?
In a simple example for example, how to choose the moving averages you want to run a simply MA crossing algo. I know you run into the risk of simply fitting the parameters to the historical data window you use but in any case it's always useful to see that kind of analysis (without having to manually modify the parameters and rerunning the backtests for a range of values for your parameters).
Is there functionality for this in Quantopian or do we have to write something to do that?
Thanks,
J

2 responses

Yep, that's a major pain point with Quantopian right now in my opinion. There's no way to do automatic optimization. I was told that they are working on a research environment to address this and looking forward to that but in the meantime, I use Zipline to code up my algorithm and do some automated optimization. Then, I try them out in Quantopian. Even though Zipline's data (Yahoo) is somewhat different from Quantopian's data, in most cases, an offline optimization in Zipline provides similar results in Quantopian.

Thanks Mete, you're right yes, I've seen the research environment they are planning to roll out. I think that's very much needed if they want this to work well!

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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.