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TradingAlgorithm conventions

posted Mar 28, 2013

I have just started to use Quantopian and zipline (awesome work by the way) but haven't been able to work out the "right" way to back-test a dynamically set basket of stocks.

How should I define a selection of stocks at run-time, or more precisely outside of the class deriving TradingAlgorithm? (I am using zipline locally in this case)

It is easy to define within the class, but this requires changing the code every time I want to look at different stocks. I would have thought I could just pass data for stocks of interest, but the obvious code:

data = load_from_yahoo()  
class MyAlg(TradingAlgorithm):  
    def handle_data(context, data):  
        for stock in data:  
            # do stuff

Will include the benchmark index (SPX).

It feels messy to just exclude SPX, what if the benchmark changes.

Any suggestions?

Thanks!

1 response

Eddie Hebert

Mar 29, 2013

Hi Bill,

The utils.factory.load_from_yahoo function takes optional keywords
of both indexes and stocks.

So you should be able to do something like:

MY_BENCHMARK = {'FOO': '^BAR'}  
MY_BENCHMARK_SYMBOL = 'FOO'  
STOCKS = ('ABC', 'DEF', 'GHI', 'JKL')  
data = load_from_yahoo(indexes=MY_BENCHMARK, stocks=STOCKS)  
class MyAlg(TradingAlgorithm):  
    def handle_data(context, data):  
        for stock in data:  
            if stock != MY_BENCHMARK_SYMBOL  
            # do stuff

Is that what you were looking for?

The distinguishing between stocks and benchmarks inside of data is a little awkward, so some thought for some helper functions there may need to be done.

Also for some more channels Zipline specific questions/help:
https://groups.google.com/forum/#!forum/zipline

zipline on irc.freenode.net

https://github.com/quantopian/zipline

Hope that helps!

Eddie

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