Suppose I want to write a strategy that sells the day's top 10 winners and buys the day's top 10 losers - how can I do this? Also, how do you account for securities who were added at time Ti when backtesting starts at T[i-j]?
Do you have any facilities for backtesting against a changing basket of securities?
Hi Luis,
Thanks for your questions!
Today you can specify up to 10 securities, and all of them will be sent to your algorithm. If you choose a date range for which one of the securities does not exist, we can optionally adjust the date range. Here is a short video depicting what happens in the UI: http://screencast.com/t/WyIEZliR
You can try it easily by modifying the sample algorithm to buy Lehman Brothers and changing the date range to run beyond 2008. Or you could do the same test with FaceBook and start the test in 2002.
In the very near future, we'll be introducing a feature called universe selection that will allow your algorithm to request a sample of securities based on their typical daily dollar volume. If you search the forums for universe selection you'll find a bunch of discussion on the topic - it is a very interesting problem!
thanks,
fawce
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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.