Question regarding data

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Question regarding data

posted Jun 3, 2013

Hi ,

I have few questions regarding the data provided by Quantopian :

As per the docs, we have data for US equities. So does it include ETFs and warrants ? Also could you please confirm whether each and every stock traded in a US exchange is included here ?
Also, I understand that the backtesting code is exposed. How flexible is a change in the backtesting code, that is , is it possible to change the backtesting code and test our programs in the same.

Thanks
Babinu

4 responses

Hello Babinu,

Yes, there are ETFs (not sure about warrants). I don't know about the full breadth of U.S. securities available...perhaps one of the Quantopian guys can fill you in.

Regarding the backtesting code being "exposed" it is posted on https://github.com/quantopian/zipline. Quantopian manages the code, and uses it as the engine for their website backtesting and trading tools. It can also be run offline, by downloading it to your pc.

Hope this helps.

Grant

Hi Grant,

Thanks for the quick reply. I have a related question here :

Quantopian manages the code, and uses it as the engine for their website backtesting and trading tools. It can also be run offline, by downloading it to your pc.

So is it possible to do backtesting on your computer (and not over the web) ? I am not sure how it can be run offline since the data is not available (since it is kept online by quantopian)

Thanks
Babinu

Babinu,

You would need to obtain your own data to run Zipline on your pc (e.g. from Yahoo or a similar source). I've never done it, but others have.

Grant

Quantopian has very nice 1-minute data already configured and cleaned for your use. That is one of the most compelling reasons to use Quantopian from my point of view.

The offline version of Zipline is configured to download historical daily prices from Yahoo. You can also plug in other data sources that you may have to work with Zipline for intraday backtesting.

As well with Zipline you would have to setup your own plotting, etc. So it's a bit of a DIY situation compared to Quantopian. Still much less work than writing a backtester from scratch :)

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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.