This is a modified version of the algorithm presented in https://www.quantopian.com/posts/robinhood-based-non-day-trading-algo-yes-i-can-still-trade-on-robinhood
I have run the backtest for the last year and confirmed it still continues to perform well. In addition to that, I started to run this algo connecting to a broker using the new open source library pylivetrader.
pylivetrader is a(nother) zipline-API-compatible trading framework in python which focuses on live
trading, with less overhead and fewer dependency problems. It is written from the ground up for live trading use cases, so it removes the requirements for a data bundle that was a heavy task for average users here. Data is instead retrieved from your broker or remote data provider (backend). At the moment, the only supported backend is Alpaca*, but we are happy to connect to IB etc. if someone contributes the code.
You can download the working example that converted this presented algo to the live version here.
I also assembled some guidelines for converting Quantopian algorithms to run in live trading more generally.
It’s a great community effort underway with knowledge and insights from everyone greatly appreciated in this forum, to enable algorithms in live trading independently. Again, this effort is going to be a continuous work and I'll keep improving both software and documentations, so please feel free to give me any questions or feedback.
* Brokerage services are provided to self-directed customers by Alpaca Securities LLC ("Alpaca"), member FINRA/SIPC. Alpaca is a wholly-owned subsidiary of AlpacaDB, Inc.
|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|