How do I implement this pattern in Quantopian?

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

How do I implement this pattern in Quantopian?

posted

I have an existing python algorithm that I created awhile ago, outside of quantopian, and I have already backtested it with historical data from Yahoo's API and I know it should be profitable. I'm trying to wrap my head around how quantopian structures things so I can adapt my algorithm to work on the platform. The basic pattern is this:

On each trading day:

Step 1 -- Assuming there are N tradable stocks on a given day, I need a matrix of size Nx30. This matrix holds the past 30 days worth of close prices for each stock.

output = secret_sauce(price_matrix)

This function returns N subsets of stocks like: [['AAPL', 'GOOG', 'AMZN'], ['GOOG', 'TWTR', 'AMZN'], ... ]

I really need to have that Nx30 matrix all at once in order to use my algorithm.

Step 2 -- Then for each possible subset from above, I take the group that has the highest total return from the past 5 days.

Step 3 -- Rebalance the portfolio to be equally weighted amongst the chosen group.

Any help would be appreciated. How would I use this general structure in quantopian?

Thanks!

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

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.

About Quantopian

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.