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Portfolio of stock trade golden cross
avi nagi
posted

Hi, I don't know if what I did is valid, maybe someone can add to it.

  1. Used an online screener to look for stock symbols.
  2. Used a portfolio optimization -(i.e.,Markowitz model to find the efficient frontier, R code provided by Elliot Noma.
  3. Based on Eric Bell's suggestion about controlling risk, I used code provided [here][4], so leverage doesn't exceed 3x and strategy is more real world applicable.
  4. Algo will buy or sell based on golden cross rule (20 day MA and 200 day MA)

Note: I haven't been able to figure out how to fix 3 error messages, due to older version of the code. Any suggestions will be helpful.

Thanks
Avi

2 responses
Eric Novinson

You could try building the stock screen into the algorithm instead of hard coding specific stocks. That would make it possible to run the algorithm over many time frames without running the external screener.

Josh Payne

to expand on Eric's suggestion, you should investigate the use of the Quantopian pipeline API. This will help you to screen stocks periodically throughout the life of your backtest. You can learn about the Pipeline API in our tutorials section.

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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.