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history for dailys and plotting/record for minutes
Brian Granger
posted

Hi everyone!

We are working on some algorithms and are running into two limitations that always seem to prevent us from understanding the algorithm we are working on. The main issue is this: we can't use history and record on the same time scale. There are two implementation details that prevent this:

  • history doesn't work for daily backtests - we have to use minute backtests to access history
  • record only plots things on daily time scales

Thus, we can use either record OR history, but not both at a given time scale.

Thoughts?

3 responses
Dan Dunn

Hello Brian, Yes, you've run into a limitation we have. It's not a gap we built on purpose - it's more of a result of the development path.

I definitely think you're better off working in minute mode - that's the way live trading works, and it's a much higher-fidelity backtest than daily mode. We need to add minutely backtest graphing to make record() more useful for minutely backtests. We also have a bit of a skunkworks project to help with algo understanding that I hope we'll release later this summer.

For now, logging is your best bet, unfortunately.

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Brian Granger

OK, thanks for the update. Looking forward to the new stuff...

Nyan Paing Tin

I have also encountered that problem.... I tried to plot the indicator that I have developed, which occurs a few times during the day or not at all... The result is somewhat bizarre..... record plot some of the signals on some days and it just ignore on other days arbitrarily.... :)

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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.