Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
RIP Live Trading - Here was my best backtesting algo
Viridian Hawk
edited

Now that live-trading is gone, I have a bunch of algos that don't have any purpose any longer.

I briefly live-traded this algo before it crapped out my Robinhood account due to the order history becoming unmanageably huge, which in turn was crashing the RH-Q sync process. Real-life results weren't as great as in the backtest. (The backtest result is quite a bit inflated due to a bug I discovered in Q.) But it nonetheless looked promising. Backtests over other time periods (2008, etc.) look the same, but since it places so many trades the Q backtester would always poop out before completing a longer backtest.

At its heart it's a simple long-only algorithm that uses a SMA as a signal -- nothing special there, and definitely lots of room for improvement -- but I think the ingenuity had to do with timing entry and exits and dynamically managing risk and position size -- and I think those concepts could potentially be adapted to improve performance of a robust institutional-level trading signal. As is though this algorithm doesn't work at above $1m, nor is it really feasible on another platform (nor did it work on Q for more than a couple weeks), since it places hundreds and hundreds of small bets.

So... a dead end with a beautiful chart, and some lessons learned.

1 response
Viridian Hawk

Here's tearsheet for a updated version of my Support-Resistance algorithm that I previously posted to the forum. This one also suffers the that the backtest is inaccurate. I think those issues could have been resolved though. By live-trading and watching the trades go through (or not) I was seeing first-hand what the incongruities were, and it seemed like a lot of it was resolvable if you'd account for it in the algo. The stats are amazing for a long-only algo -- it's basically market neutral and goes only up. This one seems though not really adaptable for institutional-level trading, and now that live trading is gone has become worthless.

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.