Back to Community
Webinar Invite: Developing Your Trading Strategies on Quantopian

Hello Quantopians,
For those who have not seen me around the forums, I'm David Edwards, I've been live trading via Quantopian since their early days and this summer I've been working with the team in Boston.

To wrap up my summer visit I did an internal lunch and learn talk about developing and analyzing trading strategies on their research and backtesting platform. I got good feedback so tomorrow I'll be doing it again via webinar and you're all invited.

You can sign up for the webinar at this link, and this is the notebook I'll be referring to so you have a copy when you join me tomorrow.

Best,

David Edwards

Loading notebook preview...
Notebook previews are currently unavailable.
7 responses

looks awesome, hope there's a recording!

Thanks, David!

I won't be able to attend so I'm really hoping this will be recorded and uploaded soon!

I listened to this talk and it's very insightful. If you can make it I'd definitely recommend checking it out as it's the sort of tribal knowledge no one usually writes about and you only learn by experience.

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Hi Simon and Marc,

Yes we plan on recording the webinar today and will share it here on the community forum.

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Here is the algorithm and backtest that go along with the webinar. Keep in mind that this algorithm is not even close to realistic for trading, it makes 469,943 transactions from 2011-01-04 to 2011-03-30. It could be the basis for an algo if you can slow it down and be creative with the signals. This algo is a partial implementation of this paper, it does not consider the cross sectional volatility portion of the paper.

Clone Algorithm
32
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
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: 55c20ef679265f0c6713ddd8
There was a runtime error.

The recording of yesterday's session is available now: http://bit.ly/DeveloponQVideo.