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Maximum number of ticker symbols in a back scan test? Dead Tickers, and Pre/Post Market hours trading data?
Robert Weinstein
posted

Hello, I'm brand new and trying to get my head wrapped around the capabilities of Quantopian and Python.

Is it possible to back test the top 3K tickers by volume for daily bar action (for example, IF XYZ is three down days in a row, what's the expected fourth day's movement, and maybe the same with intraday bars?)

How do we add in tickers that are no longer traded (I believe I've read that I can add tickers like LEH and others) How do I find them etc?

Does Quantopian have pre and after market trading data to be used with earnings and other headline events?

Thanks and I'm looking forward to diving in.

3 responses
Jason Swearingen

you are limited to 100 securities by manual input

just try adding a security via the sid() method and you'll see how to add old securities. (ref by number)

no pre/post. you can use the fetcher to pull data at market open though

Robert Weinstein

Thanks for your quick reply.

If I want to back test a strategy using more than 100 tickers is that possible through a means other than manual input?

Alisa Deychman

Hi Robert,

Welcome to Quantopian! As Jason mentioned, if you manually enter SIDs, you can have 100 stocks in your backtest. If you use set_universe then you can initialize 2% (~160 stocks) in minute mode or 10% (~800 stocks) in daily mode. Alternatively, you can use Fetcher to create a custom universe of 200 securities. Within Fetcher, you can use universe_func to screen stocks or have them dynamically enter your live algorithm. Otherwise, if your live trading algorithm uses Fetcher without this method, the list of stocks in your universe is static - it won't change. Here's an example that trade's the financial sector tickers of the SP500.

Alisa

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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.