Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Newbie - zscore and index deviation
Jason King
edited Dec 18, 2013

Hi I am new to Quantipian and python programming.

I have used Stratasearch for some time, but wondered if I could try and translate a profitable system that I use. Can anyone help.

Bottom line, it is based upon the standard deviation of a stock relative (above its 200 day MA) to it's own underlying index, and filtered with bollinger band and Williams%R with entry when the z-score is lower than -2 and exit signal when z-score is greater than -1. Other exit is trade is greater than 20 days.

It has a similar effect like bollinger band when it deviates outside the top or lower bands, but I find it much more violent to snap back in line with the underlying index using this approach

I don't know much about Python - but below is my Statasearch.

here Can anyone see how this runs on Quantopian?

Thank you!

2 responses
Ed Bartosh
Dec 19, 2013

Hi Jason,

Here is a draft version of your system. It triggered only one trade as I most probably messed something up.
Please, look at it, run it, look at the log output and try to find what I did wrong. And please don't hesitate to ask questions about the code.

Regards,
Ed

Jason King
Dec 19, 2013

This is great. Thanks Ed. I was trying to expand on this to remove bias on selected stock, I have played with Set_Universe but I have hit a brick wall. Ideas?

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

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.