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Sample Algo (VWAP) with variable short/long volumes
Evil Biscuit
posted

hi all, i just tested out something interesting with the sample algo. In the sample algo:

if price < vwap * 0.995 and notional > context.min_notional:
order(context.aapl,-100)

elif price > vwap * 1.005 and notional < context.max_notional:  
    order(context.aapl,+100)

I was thinking, if we could track the overall trend of the stock/market, why don't we place "weights" on the long and short volumes, for example, if the trend is predicted to go upwards, we distribute a higher proportion to the long stock and a lesser proportion to the short stock volume. i ran the backtest for 3 years (2008-2011) and got a 170% return for shorting 100 and longing 300.

Anyone has any inputs to implement this "tracker"? I am thinking of ARMA modelling with estimation (i came from an electrical engineering and signal processing background)

cheers all

6 responses
Alisa Deychman

Hi Ivan,

Welcome to Quantopian! Thanks for posting this, could you attach a backtest for more reference? I'd be interesting in seeing your example.

To attach a backtest to a post, you need to run a full backtest and then can click "Add Backtest" in the reply. In general, if you want to share a full backtest at the start of a thread, then on the full backtest results page click the blue "Share Results" button.

Thanks!
Alisa

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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.

Evil Biscuit

I have used a higher long volume in this case, but i am unsure of using which algorithm to decide the proportion to optimize the returns.

Abraham Kohen

I'm new to Quantopian. What instrument is your benchmark? (Where do I find what it is without asking you?)

Alisa Deychman

Hi Abraham,

I'd be happy to answer your questions. The benchmark is the S&P500; you can find more information in our FAQ and Help Documentation for references on the function descriptions, syntax details, and overview of important concepts. If you have an individual question for us, you can email us at [email protected].

Welcome!

Cheers,
Alisa

Abraham Kohen

Thanks Alisa.

While some strategies should be benchmarked against a broad based index, such the S&P500, wouldn't it make more sense to: a. allow selecting a different benchmark, and b.in this particular case to use AAPL as the benchmark? The reason for using AAPL is obvious when one looks at the chart for AAPL over the period in question.

Alisa Deychman

The S&P500 is the current benchmark, but I agree with you, I'd love to see a customizable benchmark. A benchmark that can be tweaked according to the individual algo. It's a request we've heard before and we're listening. This feature is something we're working on but I don't have delivery date.

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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.