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Handful of Questions for New User

Hello everyone. I just found Quantopian this past week, and I am blown away. I was previously fumbling my way through testing theories with Amibroker, which pales in comparison. However, the transition has not been easy for me because I am not a coder, and the Python language is completely foreign to me. In an attempt to get up to speed, I have read through the Quantonian Help page, watched the YouTube tutorials, searched the forums, and tried to understand various sample codes. I'm still stumped on some basic things, and I was hoping the community could help me out.

  1. When scanning 1-minute intervals, will the mavg(5) still be the 5-day moving average and not the 5-minute moving average?
  2. When scanning 1-minute intervals, will the vwap(1) just be calculated on data from that current trading day?
  3. How do I put in context the stocks that are triggered from within my initialized universe? I am using the following at the top of my code: def initialize(context): set_universe(universe.DollarVolumeUniverse(99.0, 100.0)) Then what? I know the following won't work. What do I put instead of AAPL and/or symbol?
    def handle_data(context, data): order(symbol('AAPL'), 100)
  4. I'm also unsure on how to code some of my trading logic. For example, how would I code a BUY IF the current price is > 5 DAY moving average and CROSSES over the intraday VWAP?

Thanks very much for taking the time to read this. I'd greatly appreciate any help.

4 responses

I probably should have posted this on Monday morning during the active time. Sorry for the bump, but the thread was about to fall off the front page. Can anyone help please? Thank you very much.

Welcome to Quantopian! To answer your questions,

  1. yes, the built-in mavg(5) will always be the 5 day moving average. If you want a minutely moving average you can use the history function:
five_min_prices = history(5, '1m', 'price)  
five_min_mavg = five_min_prices.mean()  
  1. Yes, that's right

  2. There are 4 different ways to add stocks to your algorithm universe: Manually using the sid(), symbol, or symbols() methods, querying and filtering using fundamental data, using set_universe to trade a basket of stocks based on their liquidity, or import your own universe in a CSV using Fetcher.

In all of these cases, the securities get added to data. So if you want to do something to all of your stocks you can do:

for stock in data:  
   order(stock, 100)  

Or if you only want to do something to a manually defined list of stocks you can do:

for stock in context.stocks:  
  order(stock, 100)  
  1. Take a look at the attached backtest for an example. Enjoy!
Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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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: 5575d14b4bfe1710c5f947a9
There was a runtime error.
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Hi Alisa,

I am trying to put your minutely moving average in my algorithm but every time I put it under handle data it tells me to put it under initialize, and when I do that, it tells me to put it under initialize. Please help.

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@Shan,

What is the goal of the strategy, what does it do? The initialize function is used to set the variables at the start of the stratgy. This function is only run once, at the launch of the algo. The function handle_data runs every single minute. My hunch is you're trying to trade at a different interval, daily, weekly, or at a custom signal, instead of every single minute. To do so, use schedule_function to run your query: https://www.quantopian.com/help#ide-schedulefunction