How to Pass Information for Backtest in Research Notebook?

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How to Pass Information for Backtest in Research Notebook?

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Seeking Help Research Pipeline

I tried to implement backtest in research notebook. After couple hours work, I still have difficulty to pass variable between two functions.

I am wondering whether anyone has better way to deal with it.

Thanks.

1 response

I have a research notebook where I ran into the same problem.
I cloned it from the one that sweeps multiple parameters,,,

https://www.quantopian.com/posts/sensitivity-analysis-aka-parameter-optimization-of-pair-trade-input-parameters

I solved that part by just using data instead of transposing it...
Like so...
# this runs a backtest unique to the values in 'param_1' and 'param_2'
algo_obj = TradingAlgorithm(initialize=initialize, handle_data=handle_data,
data_frequency='daily',capital_base=45000,instant_fill=True)

# compute the performance stats for this backtest run and then append to a dataframe  
# that is accumulating all of the backtest performance stats  
perf_algo = algo_obj.run(data)  
#perf_algo = algo_obj.run(data.transpose(2,1,0))  
perf_returns = perf_algo.returns  
perf_stats_df = perf_stats( perf_returns ).T

If this doesn't work for you, I can share my notebook.
I was trying to find the effect of changing the start date on an algo, so it sweeps starting date params.
That does work, but I'd have to clean it up.
alan

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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.