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Can Quantopian backtest customized alphas

Dear All,

I am new to Quantopian, and have been enjoying learning and exploring Quantopian. I have one quick question:

I have some alphas/scores in the US 500 stocks universe that I calculated using FactSet a few years ago. I haven't had the chance to backtest them at that time due to resource constraints. Is there anyway I can load the daily alphas into Quantopian to do a proper backtesting? I could in theory reconstruct the signals using Morningstar from within Quantopian. But this could take a while and also Morningstar data is not the same as FactSet.

Any example or guidance would be appreciated.

Thank you very much.

1 response

You have a few different options. I imagine that they will all require some data manipulation to get it into an ingestible format.

  • You can load your signal into the research platform, and analyze it using Alphalens
  • Depending on the nature of the signal, you can also backtest it using Fetcher.

You can use both of those methods to do your own personal evaluation.

However, if you want us to be able to evaluate it for consideration for an allocation, you'll have to do the work of porting it to Quantopian and Morningstar's data. Are there fields you're using that aren't available on Quantopian? Otherwise, the two vendors should be similar enough, I'd think.

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