Sentdex's Quantopian Tutorials Updated (by me) for Quantopian 2: Algorithm 2 Videos 4-7

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This is the second in my series updating Sentdex's Tutorials for Quantopian 2. It covers parts 4-7 of Sentdex's tutorial

(Here's the first.)

This second algorithm is a simple screen for 'value' using fundamental data and again highlights some differences between appropriate structure of algorithms in Quantopian 1 to Quantopian 2.

Instead of using stock in data to ensure that a stock is
tradeable, you should use data.can_trade(stock)
The fundamental data fetching should be done through the pipeline
API, not through the query language. There is suppose to be a
tutorial coming out on the pipeline API shortly. I'm still a little
uncertain on whether or not the fundamental query syntax is fully
deprecated or if it still has use cases. If you know please speak
up!
Lastly, for any daily / weekly / monthly strategy, the trades should
be executed through some sort of scheduled rebalance function and
not through a handle_data call. You will notice an extreme difference in backtesting speed between the two.

I also put my own order entry syntax that I think is much cleaner than Sentdex's. I hope you agree.

Finally, I'm 95% certain that the stop-order that he uses in his tutorial is not a stop loss order. What his order is doing is "wait until the stock pulls back another 0.5% to enter the position." If you wanted a true stop-loss order you would have to enter one order to buy and a second order to sell if the trade went against you X%. And since open orders are canceled at the end of each day in backtesting, this would have to be re-entered every day. I have not included stop-loss logic in this one, let me know if you really want to see it and I'll add it in.

6 responses

Ryan Branch

Thanks for these posts, Michael! The explanations are incredibly useful for any new users following along with Sentdex's tutorials. Looking forward to the next post.

Michael Ward

@RyanBranch Here's the next post. Glad to hear your that they are useful to you!

pepo pepa

Hi Michael, it IS a very useful work you're doing here, thanks for that. I'm new to Python and to Quantopian, so please bear with me for a while.
In the following piece in the end of the code:

for stock in context.portfolio.positions:  
        if data.can_trade(stock) & (stock not in context.output.index):  
            order_target(stock,0)

What does this part mean (stock not in context.output.index)

I removed the selling part from your code to replicate the exact results from Sentdex Lesson 4-5, but it's not the same. In his case returns were 3.2% and after running this code I get -4% . I wonder why is this difference?

pepo pepa

Here is the backtest results from running your code with the same dates as from the Video Lesson - 5

pepo pepa

This one gives almost the same result as in the video 5. Thanks again

Eduardo Sandoval

Thanks man!

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