Which Index as benchmark is possible to have?

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Which Index as benchmark is possible to have?

posted Nov 26, 2015

Hello everyone.

Today is my first day at Quantopian.

As far as I've seen, Quantopian uses SPY as default benchmark. I've read that it is possible to change the benchmark to some other securitie.

However, I have some questions and doubts.

Is it possible to write an algorithm that considers as possible stocks choices in the portfolio, only the members of NASDAQ100, and using the NASDAQ100 as benchmark?
Does it also considers the members in NASDAQ100 of a given date, since NADASQ100 members 1year ago are not the same as they are today?
What if 1 year ago i have an open position at a stock that will no longer be in the next on the next trading day. Does it closes the position automaticaly and receives the money in the account? Or does the algorithm must considered this possibility?

Thank you in advance.

Filipe

1 response

Filipe, welcome! You can use any security as a benchmark to compare your algo's performance. To choose one, use set_benchmark: https://www.quantopian.com/help#overview-setbenchmark

Currently, it's not possible to create an entirely custom benchmark. I'll take your suggestion as a feature request. To simulate the NASDAQ and other constituents, take a look at this notebook: https://www.quantopian.com/posts/simulating-s-and-p-500-russell-1000-russell-3000-in-research

cheers,
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.

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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.