Hey guys, just wanted to know if it is possible to download data from pipeline for more extensive backtesting. Although the backtesting feature in Quantopian seems great, there is a lot of non performance related information I would like to track about an algorithm that I don't see how to track. For example, if you have an algorithm making online decisions at each point in time it is often helpful to see a time series of certain decision metrics and other stats to get insight into how it is working. More examples include portfolio weightings time series, exposure time series, covariance time series, etc. Some times you might even want to look at the data yourself for a sanity check. Ex. you get a spike in regression t-stat or something and you want to see how the data changed. Furthermore, you might want to stress test your algorithm by varying parameters and etc. without having to individually run each backtest. When you have the data on hand, all this becomes easy. However, if you can only query the data through a simulation, none of this would really be feasible. Without access to this information, I am thinking it might not even be worth it to design an algorithm here.
Hello Chris -
I was reading through old posts, and realized no one had answered this one.
We promise our data providers that we will keep their data on our servers. That promise means we can get a competitive price. For some data (price, volume, corporate fundamentals) we keep it entirely free for you. For some data it is a free-sample-pay-for-full model. In both cases, the price is lower than you can fine elsewhere because we keep the data safely on our servers. As you can understand, that means we can't let you download it - the model falls apart.
However! I think that everything you describe in your question can be done in our research environment. In research you can fold, spindle, and mutilate data your data inputs, your pipeline outputs, your simulation results, and your live algo results. If there's something you can't do in research, I'd like to hear it.
Thanks
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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.