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Question: performing calculations on recorded variables

I'd like to perform a few simple calculation on the variables in record_vars, for example calculating the average number of positions held during the backtest period. Is there a quick way to do that?

2 responses

One can retrieve the data stored in a backtest, including the recorded variables, through attributes of the AlgorithmResult object in the research environment. The first step is to get a reference to this object using the get_backtest method. This returns a AlgorithmResult object from which one can then reference the various attributes. For example, if one wanted a dataframe of the recorded variables something like this should work (make sure you use your own backtest ID) .

my_backtest_id = '5d6551e306688560ea8bb80c'  
my_backtest = get_backtest(my_backtest_id)

# Display a dataframe of the backtest's recorded variables.  
my_backtest.recorded_vars

The above will return a dataframe with all recorded variable points. One can also get a list of all positions by referencing the positions attribute. The dataframes can then be copied, manipulated, plotted, and analyzed (for example the number of positions could be grouped by day and the count could be plotted over the duration of the backtest). There is a complete list of algorithm result attributes and methods in the docs (https://www.quantopian.com/docs/api-reference/research-api-reference#algorithm-results).

Hope that helps.

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Dan, thank you so much for your clear explanation and for pointing that document out to me. Everything is clear now.