I have been impressed over and over by the quality of Quantopian's backtesting performance compared to other platforms out there. Given the difficulty of the task at hand and the sheer amount of data it really speaks to the quality of Quantopian engineers. Well done!
Yep! I agree that technically there are miracles that have been performed by Quantopian and some great decisions. Meanwhile, who was that famous poet cautioning of human proclivities, that thou mayest constrain too much. Hamlet, on today's stock market. Pretty sure I messed that up but one thing's for sure, there's profit outside of the constraints, this meets only 2/9 constraints, profit and beta. It is low-priced stocks. When's the last time you saw a sharpe of 64 and drawdown of 0. Limit orders (on both buy and sell). Edit: A page for that added.
So, I gotta bite...is that a real algo? 0 DD ?? If you wouldn't have given the line about 2/9 constraints it seemed more like you are showing some bug with the backtest.
Maybe we could find a place to nominate Quantopian for an engineering award.
"Quantopian takes end of day leverage into account only" ... is correct. Made a thread for my algo, can discuss there.
On limit orders, would they see those and disqualify? Otherwise, one could, for example:
1. optimize early
2. set limits when orders are filled
3. near the end of the day, look at winners (pnl = pos[s].amount * (data.current(s, 'price') - pos[s].cost_basis)), place them in a Series, sort_values(), select some of the best, and use opt with freeze to add value to them, so long as each would not exceed risk thresholds. Except for the last part, I have code that turns out to be surprisingly efficient at bringing leverage near 1, just that with certain algorithms I would have to run it earlier than I'd like, say, 20 minutes before close, and sometimes then again around 10 if still too close to upper or lower bounds.
Or with opt later in the day, just cancel all [stop, limit] orders before it runs and re-make them after.
Maybe they will add stop & limit. It's pretty complex & processor intensive. For example, have to modify their amounts with each partial fill.
Thx for the notebook.
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
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.