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A R&D Framework for Quantopian

I have been improving my framework and think others may now like it as an R&D environment

It's greatly simplified from my initial work, so I encourage you all to take a look here: https://github.com/Novaleaf/QuantShim

FYI while I initially was attempting a zipline compatable framework, this is now strictly quantopian only.

Here are it's features:

Features

  • Detailed order logging
  • WorstSpreadSlippage to simulate pessimistic yet realistic order execution
  • Strategy framework that's easy to extend
    • StrategyPositions: Each strategy can control it's own positions without interfering with other strategy
    • Multiple Strategies supported
  • TechnicalIndicators framework that's easy to extend
    • State History stored for inspecting previous frames
    • StandardTechnicalIndicators provided as example
  • Designed for coding via Python Tools for Visual Studio
    • simple copy/paste into quantopian to execute
    • intelisence for most quantopian internals
  • Open Source (GPL3)

Here I have attached the latest version, which implements the quantopian 9sector real money strategy as an example:

Clone Algorithm
21
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5352117afc4a86072ca60fa6
There was a runtime error.
4 responses

Updated the framework:

  • add "logging" global object to framework, allows enabling/disabling of logs, adds log time (in exchange time) and allows graphing records with variables as names.

this will be my last commit unless people make feature requests, so let me know....

https://github.com/Novaleaf/QuantShim

Clone Algorithm
21
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5354f546cc84c207367a73e9
There was a runtime error.

one more update: compute all standard technical indicators to workaround quantopian (TALib) bug in SMA computation

Clone Algorithm
21
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5355bc4dfb1b810728cdc3a0
There was a runtime error.

This looks really cool, thanks for sharing! Unfortunate that it's licensed GPL which means that we can't import any of the code into Zipline.

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Hi Thomas, I don't think there's anything from my framework that you'd want to port to Zipline, as I don't do anything in a "Pythonic" way. However if there is, let me know what license would fit and I can adjust the project.