Hi,
I'm interested in doing multiple backtests in a loop. That is, I've N different trading signals and I'd like to backtest each one separately, and record final returns. I'd like to automate the loop so I don't need to manually change the script and press "backtest" for each signal. Could this be done? how? Thank you!
-SR
Hello Shai,
How big is N? And what do you mean by "different trading signals"?
As is, the online version of Quantopian doesn't support backtesting in batches or a loop (except by manually running multiple versions of an algorithm in separate browser tabs). I haven't used it myself, but there is an offline version of the backtester called zipline (as I understand, a modified version of zipline is the engine for the online backtester). Zipline is available on https://github.com/quantopian/zipline, with a separate discussion group ([email protected] and https://groups.google.com/forum/#!forum/zipline). Also, see http://zipline.io/.
With zipline, you won't have access to the Quantopian data, but I gather that folks have been successful with free daily bars downloaded from Yahoo, etc. (e.g. https://www.quantopian.com/posts/zipline-in-the-cloud-optimizing-financial-trading-algorithms).
Note also that Thomas Wiecki (Quantopian employee) has been talking about developing optimization routines that would run on the online version of Quantopian. So, if you are looking to optimize a set of parameters in your algorithm, you might ask for his advice.
Grant
Hello Grant,
N=500, external signlas are go long/ go short based on non financial data, e.g news stroies, weather, twitter, etc.
Yes zipline could be interesting, but we want db free of survivorship bias, to the best of my knowledge yahoo/google data don't fulfill this. We are ready to pay for adequate standalone db that can interface to zipline, is such available from quantopian or a 3'rd party?
Thank you,
Shai
Hello Shai,
A bunch of ideas on data sources here:
http://stackoverflow.com/questions/754593/source-of-historical-stock-data
Quantopian gets their data from a vendor, which they have not revealed. One poster stated that it might be Thompson Reuters (see post), which seems like a reasonable guess looking at the range of their product offerings (see http://thomsonreuters.com/products_services/financial/financial_products/).
Grant
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.
