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Feature Request: Combining multiple algos into a single backtest
Tristan Rhodes
posted Jun 12, 2015

I know this has been discussed before but I wanted to expand on the idea.

I'd like to be able to select multiple algorithms, assign each algo a weight (percentage), and then backtest the combined portfolio, a sort of "meta-algo". I'd like to see how combining different strategies can improve performance metrics (reduce volatility, max draw-down, etc). I'd love to see a correlation calculation between the algos, which would help find uncorrelated returns.

I know that this process of identifying the best combination of algos is a core part of what Quantopian is doing, so hopefully providing this functionality to users won't conflict with their goals. If anything, it might help Q in finding great combinations of algos.

2 responses
Dan Dunn
Jun 12, 2015

It's a great feature request, thank you. As you know, it's been requested before. It's good to hear the request from other people, too, because that helps us prioritize.

We don't have any immediate plans to build this feature just because we have so many other great things to do first. I'm sure we will get to it. As you say, it will be helpful to us and to the community.

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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.

Amir Sani
Jun 12, 2015

I published an algorithm that does this with strong theoretical guarantees to the best combination in hindsight and to any benchmark. Here's the paper: http://papers.nips.cc/paper/5436-exploiting-easy-data-in-online-optimization

I hope to contribute an implementation that works on Quantopian, but I've been really busy transitioning into a postdoc. If anyone's familiar with the Quantopian IDE and wants to collaborate on this, just get in contact.

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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.