Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Replication of backtest results in Research environment
Deleted User
posted
Research

Using the research environmment, I'm able to backtest strategies with longer computation time. While this is great, I have a list of similar strategies that are able to be backtested in the regular Q backtester. To compare strategies, i will need to bridge the gap between calculating performance numbers that Q backtester does versus in the research environment such that, if I carry out the same strategy on both research and backtest environment, the statistics returned should be virtually the same. However, i can't get my results to match.

Let's say I want to execute a min. var strategy on both the backtester and research environment. My goal is to have the ending results match and let's assume my only concern statistic is Max Drawdown
attached below is the research notebook AND the backtest strategy. The code i'm using to calculate max_drawdown is said to be the same as the one Q uses taken from zipline/finance/risk/period.py

Is there anything I'm missing out on?

3 responses
Deleted User

Attached in this post is the Q backtest, as you can see the max drawdown is 31.3% versus 38.86% on the research environment.

James Christopher

Is there a reason you can't use perf_manual max drawdown key?

perf_manual = algo_obj.run(data.transpose(2,1,0))  
print perf_manual["max_drawdown"]
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.

Deleted User

Even then, the values are off from the actual backtest, which gives one number, and assuming we use the last value of max_drawdown, it's still off.

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

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.