How can i replace the benchmarks with local files?

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How can i replace the benchmarks with local files?

posted

I want to have an offline backtest.
How can i replace the benchmarks? Or just discard it.
Maybe I should modify TradingEnvironment(load=None) to something.

2 responses

Hi Henry,

Sounds like you have already found our backtesting engine, Zipline (https://github.com/quantopian/zipline)

You are close to what you need to do for replacing the benchmarks, which is passing a function to TradingEnvironment which matches the return type of zipline.data.loader.load_market_data, which is a tuple of (benchmark_returns, treasury_datae).

(PLEASE NOTE The above advice is for stand alone Zipline only, not backtests through our IDE.)

Turning off benchmarks completely is a feature that others have requested, but the wiring for that has not yet been attempted. Of note there, many of the risk metrics would need to be turned off as well.

Also, for pure Zipline questions a dedicated group/mailing list is also available, https://groups.google.com/forum/#!forum/zipline

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Thank you Eddie. How can i change the TradingEnvironment without modifying the Zipline source code?

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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.

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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.