Running pipeline backtest in reserach

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Running pipeline backtest in reserach

edited

Research Pipeline

Following on Karen's post on https://www.quantopian.com/posts/pipeline-in-research-build-test-and-visualize-your-factors-and-filters I tried to see if I can run a backtest for pipeline algorithm. I have not been able to get satisfying solution yet, but have some workarounds (which is documented in the notebook).

Anybody have success in doing this?

In particular, I ran into an exception when doing algorithm.run:

---------------------------------------------------------------------------  
NoEngineRegistered                        Traceback (most recent call last)

/build/src/qexec_repo/zipline_repo/zipline/pipeline/engine.pyc in run_pipeline(self, pipeline, start_date, end_date)
     77     def run_pipeline(self, pipeline, start_date, end_date):  
     78         raise NoEngineRegistered(  
---> 79             "Attempted to run a pipeline but no pipeline "  
     80             "resources were registered."  
     81         )

NoEngineRegistered: Attempted to run a pipeline but no pipeline resources were registered.

Which I might be able to solve by passing in the right get_pipeline_loader into TradingAlgorithm according to https://github.com/quantopian/zipline/blob/c09f7ab04cd52deb68cec6ecfef091ffb5992a37/zipline/algorithm.py#L192 - is this doable in the research environment?

Thanks!
boris

2 responses

Note that there's an off by 1 error above. Fixed here.

Thank you for sharing the notebook. Doyou have any idea how to bring vix indexes that provided via pipeline to the data = get_pricing.... in the research environment?
'quantopian.pipeline.data.quandl import cboe_vix, cboe_vxv, cboe_vxd, cboe_vvix'

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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.