Is there a way to obtain a tear sheet of an algo that is trading live?
Hi Peyman,
If you have a live algorithm that's been running for 6 months or longer, you can generate a tearsheet for it by using get_live_results().
You can do something like this in research:
lr = get_live_results('<id>')
lr.create_full_tear_sheet()
where the is the ID of your live algorithm obtainable from the URL of your live algorithm dashboard (https://www.quantopian.com/live_algorithms/<id>).
Let me know if this helps.
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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.
Thank you Jamie I was not aware of the 6 months lower bound. I guess there is really no good way of pulling stats and performance metrics before 6 months other than to look at what the dashboard gives you.
Update: just saw that all the data is actually there when using get_live_results(''). I will write the metrics myself. Thanks for your help.
Jamie, is there way to get the results of an algo from all of it's different runs (due to unavoidable restarts and crashes?). I have some algos which have been trading since last November, but they've all been required to be restarted a handful of times, so I don't have a contiguous trading history for them...
Hi Simon,
Interesting point/question. Currently, there's no straightforward way to do this, but I just submitted a feature request internally for the ability to concatenate live algo results in research.
In the meantime, here are a couple of workarounds that you could try:
1) Manually format the data for pyfolio. This would require you to get all of the live algo results, get the data that you need, reformat it, and input it to pyfolio. It may require some time, but it should work.
2) Run a backtest your strategy and specify the live_algo_start_date to be the date that your first live algo started (see create_full_tear_sheet docs). The downside to this one is that it's a backtest, but the upside is that it won't require much work.
Again, neither of these is ideal and we'll see if we can come up with a better way to achieve the same thing.
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.