I get a "runtime error" when using set_universe with a batch_transform (one that gets past prices). If you comment out the set_universe line and un-comment the context.stocks line, it backtests fine. Am I using batch_transform with set_universe correctly?
I think the bug is in our end, not in your code. If you turn down the lookback period to 62 days, it works, but if you lookback 63 days, it fails.
We have some code in batch transform that loads a batch warmup period. For instance, your test starts on 2012-09-03, and it therefore tries to load the previous 63 days of data. For whatever reason it's working if you load 62 days, but not 63! At first I thought it was going to be just one SID with bad data, but it appears to be happening for many, if not all SIDs. Again, not clear what's wrong.
I'm writing a bug and we'll look into it.
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Any updates on this? I'm participating in the Upgrade Capital Algorithmic Trading Competition and would like to use set_universe with a batch_transform that has a lookback period greater than 62 days. Thank you!
Hello Troy,
We know pretty much what is causing this, but we haven't fixed it yet. We're looking to do a release later this week with a bunch of bug fixes, and the goal is to have this one fixed and included in that release. Fingers crossed, but I'm hoping Weds/Thurs.
Dan
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.
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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.