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Simon Thornington
posted Jan 24, 2013

Multiple stock models:

  • Given we have the advantage of a survivorship-bias-free historical database (I hope everyone realizes what a benefit this is, it's crazy good for something free), is there any (easy) way to run a strategy on, say, "All the stocks in the S&P 600 as it existed at each given time"? If not, I suppose it will be easy enough to write an offline script that generates a python list definition to paste in.

  • what are the current limits on the number stocks you can backtest in a minute or daily backtest?

  • as someone else mentioned, when can we expect more flexible order entry options, like limit orders, MOC/MOO etc?

Thanks! Nice work so far!

3 responses
John Fawcett
Jan 24, 2013

Hi Simon,

Thanks for the questions. Here goes with the answers:
1. We don't have index membership information, so we can't provide that type of filter. In the near future, we'll provide a method (set_universe) for you to request an unbiased sample of stocks, which we call universe selection. The first release will allow you to sample based on daily dollar volume traded.
2. We restrict you to 10 concurrent symbols at the moment, but we've recently finished several large performance optimizations in preparation for the release of set_universe, and plan to raise that limit to be ~500.
3. We will be working on more order types soon! If you would like to help, that work will be done inside of Zipline as extensions to the existing slippage models.

thanks again,
fawce

Disclaimer

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.

Grant Kiehne
Jan 25, 2013

Hello Simon,

Would an S&P 600 ETF work for you? If so, see sid(21508), for example:

iShares S&P SmallCap 600 Index (ETF)
NYSEARCA: IJR

There may be others, as well.

Grant

Simon Thornington
Jan 25, 2013

Thanks, I was referring more to fawce's point about regarding index membership, so as to try to back out long/short pairs based on rolling cointegration or something, or even something as simple as back testing a constrained mean-variance portfolio from a given universe.

As for helping out with Zipline, if I get more serious about Quantopian it's a possibility, but there is some legwork involved in getting permission from my employer to contribute etc.

Thanks.

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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.