Hi all,
I just presented our open source backtester Zipline (check it out on github).
If you are interested, here are the slides and the IPython Notebook I used.
Follow me (@twiecki) and us (@quantopain) on twitter.
Presentation at the Boston Python Meetup
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Hi Thomas,
I tried to run the code for the Dual Moving Average crossover strategy and Picking up a trend via linear regression examples, but I am getting error conditions associated with the following lines of code respectively:
self.record_variables(['short_mavg', 'long_mavg', 'buy', 'sell']) ---> Dual moving avg.
self.record_variables(['slope', 'buy', 'sell']) ---> Linear regresion
The error messages are as follows:
dma = DualMovingAverage()
AttributeError Traceback (most recent call last)
----> 1 dma = DualMovingAverage()
C:\Python27\Lib\site-packages\zipline\algorithm.pyc in init(self, *args, **kwargs)
118
119 # call to user-defined constructor method
--> 120 self.initialize(*args, **kwargs)
121
122 def _create_generator(self, sim_params, source_filter=None):
22 # On each day, snapshot these variables and include them
23 # in the output.
---> 24 self.record_variables(['short_mavg', 'long_mavg', 'buy', 'sell'])
25 def handle_data(self, data):
26 self.short_mavg = data['AAPL'].short_mavg['price']
AttributeError: 'DualMovingAverage' object has no attribute 'record_variables'
follow_trend=FollowTrend()
AttributeError Traceback (most recent call last)
----> 1 followtrend=FollowTrend()
C:\Python27\Lib\site-packages\zipline\algorithm.pyc in __init_(self, *args, **kwargs)
118
119 # call to user-defined constructor method
--> 120 self.initialize(*args, **kwargs)
121
122 def _create_generator(self, sim_params, source_filter=None):
5 self.slope=0
6
----> 7 self.record_variables(['slope','buy','sell'])
8
9 def handle_data(self, data):
AttributeError: 'FollowTrend' object has no attribute 'record_variables'
Hello Rolando,
The zipline API for recording variables changed in March. The Dual Moving Average example here https://github.com/quantopian/zipline/blob/master/zipline/examples/dual_moving_average.py works.
Regards,
Peter
Thanks, Peter. That's exactly right.
Note that questions purely on zipline should be directed at our separate mailing list: https://groups.google.com/forum/#!forum/zipline
Thomas
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.
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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.