Is it possible to update portfolios to simulate profit/loss on traded signals not in the universe?

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Is it possible to update portfolios to simulate profit/loss on traded signals not in the universe?

David Silverstein

posted

Hi, there are many instruments that are not yet in the Quantopian universe or the available timeseries does not go back far enough. In this case when backtesting, it is possible to load an instrument timeseries with the fetcher as a market signal with a labelled symbol, making it possible to see an assigned price or value during backtesting. However, there is no way to simulate trading that labelled signal in a portfolio with other instruments in the Quantopian universe, so the returns can't be computed with this included.

Is there a known workaround for this? One possibility might be to simulate positions of this labelled signal by increasing or decreasing the portfolio cash with the realized gain/loss each day during backtesting. Can the portfolio cash be modified in the algorithm during backtesting? Is there a better way, other than installing Zipline locally and creating a custom universe?

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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.