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TA precomputation introducing bias??
Lucas Silva
posted

Hi,

I have a question on how are the technical analysis are computed for the simulation. A while back when building my own back-testing system I made the mistake to compute the TA only one time and stream it to my system.
This introduced bias in obviously didn't work as I expected since when I went live the results were very different.

The problem is that many TA need "Future" bars to give you the value for the "current" bar such as macd

I made a test here which is basically compare the values of macd between two simulation with only one day of difference say

Simulation1 from X1 ..... Xn and
simulation2 from X1 ...... Xn+1

The macd value in simulation1 at Xn and simulation2 at Xn should not be the same. but here I found that they were the same? Meaning the TA were precomputed?

To simulate the real market we need to simulate visible data say at Xn we cannot use data > Xn to compute the TAs.

How is it done here?

Cheers,
Lucas

1 response
Dan Dunn

Lucas, there is no forward data leaking into the system.

Quantopian evaluates one bar of data and does any calculations, places any indicated orders, and then loads the next bar of data and fills any open, fillable orders, does calculations, etc. That structure means that you can't get tomorrow's price into today's calculation, so to speak - it's just not in the computational space at all. It can only calculate using the data that is available, the data through today.

If you have a specific test that you can't puzzle out, please share the backtest of it so we can all take a look.

(To be comprehensive, I'll point out that it is possible using Fetcher to bring in "future data" if you're not careful with the import. i.e., if you're not careful the June unemployment report could be imported with a date of June 1st, when obviously that data can't be known until July sometime. But the Quantopian pricing data is pretty much impervious to this because of the system architecture.)

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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.