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Quantopian engineering

I have been impressed over and over by the quality of Quantopian's backtesting performance compared to other platforms out there. Given the difficulty of the task at hand and the sheer amount of data it really speaks to the quality of Quantopian engineers. Well done!

6 responses

Agreed. Kudos to everyone making this platform singularly the best.

Yep! I agree that technically there are miracles that have been performed by Quantopian and some great decisions. Meanwhile, who was that famous poet cautioning of human proclivities, that thou mayest constrain too much. Hamlet, on today's stock market. Pretty sure I messed that up but one thing's for sure, there's profit outside of the constraints, this meets only 2/9 constraints, profit and beta. It is low-priced stocks. When's the last time you saw a sharpe of 64 and drawdown of 0. Limit orders (on both buy and sell). Edit: A page for that added.

So, I gotta that a real algo? 0 DD ?? If you wouldn't have given the line about 2/9 constraints it seemed more like you are showing some bug with the backtest.

Maybe we could find a place to nominate Quantopian for an engineering award.

"Quantopian takes end of day leverage into account only" ... is correct. Made a thread for my algo, can discuss there.

On limit orders, would they see those and disqualify? Otherwise, one could, for example:
1. optimize early
2. set limits when orders are filled
3. near the end of the day, look at winners (pnl = pos[s].amount * (data.current(s, 'price') - pos[s].cost_basis)), place them in a Series, sort_values(), select some of the best, and use opt with freeze to add value to them, so long as each would not exceed risk thresholds. Except for the last part, I have code that turns out to be surprisingly efficient at bringing leverage near 1, just that with certain algorithms I would have to run it earlier than I'd like, say, 20 minutes before close, and sometimes then again around 10 if still too close to upper or lower bounds.

Or with opt later in the day, just cancel all [stop, limit] orders before it runs and re-make them after.
Maybe they will add stop & limit. It's pretty complex & processor intensive. For example, have to modify their amounts with each partial fill.
Thx for the notebook.

Does Quantopian have its own data center or using one of the public cloud based services?

Does Quantopian have any plans for creating a mobile interface, at least for the interacting on Forums?