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Feature request - multiple runs for testing non-deterministic algorithms
Tyler
posted Apr 19, 2013

A few of the randomness-inspired algorithms of discussion lately (https://www.quantopian.com/posts/getting-sid-programmatically or https://www.quantopian.com/posts/further-experiments-with-randomness) would benefit from mulitple-runs type capability. By this I mean the user would be able to select some # of backtest-runs to execute, instead of just one, and the resulting data and metrics be available as a data frame.

Running a non-deterministic algorithm once only really gives you a snapshot, what you really want to do is run it thousands of times and be able to measure the variance of variables between runs.

2 responses
Grant Kiehne
Apr 19, 2013

Hello Tyler & all,

I agree...being able to run algorithms in batches (sequentially or in parallel) with downloadable results would be an improvement, although it might not be the most efficient approach if you are interested in thousands of iterations. The infrastructure is available, as Thomas Wiecki illustrated with a zipline example utilizing cloud computing to optimize a parameter (see https://www.quantopian.com/posts/zipline-in-the-cloud-optimizing-financial-trading-algorithms). It would be interesting to understand if Quantopian is scalable in this fashion, with its security constraints and business model of providing free backtesting capability.

Perhaps someone has experience applying Monte Carlo methods in the context of algorithmic trading? The online, browser-based version of Quantopian is not well-suited for this kind of approach, but I can imagine zipline being used offline.

Grant

Dan Dunn
Apr 22, 2013

Thanks for the feature request. It makes sense to me. I'll put it in our future-feature list.

Dan

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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.