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Quantopian Feature requests
Greg Rollins
posted Jul 19, 2016

I think the following would be useful:

  1. A simple_order mode which always fills in one execution at the current price for quick testing. A "pessimistic" mode could be offered which would buy at the daily high and sell at the daily low. The advantage of this would be it should run faster. Also it would show up as a single transaction on the transactions page making it easier to read (or maybe a way to collapse all the sub-transactions).

  2. It would be nice if each individual backtest saved the exact copy of the algorithm that generated it.

  3. A way to execute the pipeline less often than daily (to speed things up).

Thanks

1 response
Jamie McCorriston
Jul 19, 2016

Hi Greg,

Thanks for the requests. Let me try to address each of them:

  1. For orders to be filled immediately, you can set slippage to 0 in your algorithm. The "pessimistic" mode doesn't sound realistic as it would require either lookahead bias or retroactive trades - either way it's not realistic. Such a mode would not offer any performance benefits.

  2. Individual backtests ("Full Backtests") do save a copy of the algorithm that generated them. To the right of the blue "Share Results" button in the top right, there's a dropdown containing a "View Code" option. You can find the algorithm snapshot used to generate the backtest there.

  3. This is something that has been requested before and is something that we hope to add at some point in the future.

Again, thank you for the feedback. Let me know if you have any further questions.

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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.