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Simple Trading Strategy CSV Question

Hi, I am having trouble implementing a basic trading strategy. If I have a CSV with three columns, Symbol, Date, & Score, how do I backtest trades placed on the dates in the Date for securities in the Symbol Column based on the Score column. Just a quick outline would be very helpful. Thank you.

2 responses

Any help with this? Thanks.

Hi Dean,

You can find a couple of examples in the documentation. In short, the backtester automatically associates data from your Score column to its corresponding sid based on the Symbol column, and it makes the data available on the date specified by your Date column.

Below is a quick example of an algorithm that imports NASDAQ 100 constituent data, and rebalances its portfolio based on the imported symbols.

Clone Algorithm
Total Returns
Max Drawdown
Benchmark Returns
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
# url is public
url = ''

def preview(df):
    print df.tail(10)
    return df

def initialize(context):
    Called once at the start of the algorithm.
    schedule_function(rebalance, date_rules.every_day(), time_rules.market_open())
def before_trading_start(context, data):
    context.currently_listed = [x for x in data.fetcher_assets if data.current(x, 'event') == 1]
def rebalance(context, data):
    for sec in context.currently_listed:
        if data.can_trade(sec):
            order_target_percent(sec, 1.0 / len(context.currently_listed))
There was a runtime error.

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