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Portfolio Level Backtesting

Is QC a portfolio-level backtesting system? Can I do position sizing among instruments within a portfolio? can I allocate money among portfolios based on their performance? Can I rank instruments or strategies?
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Hey @YanDai, welcome to QC. We're working on it, its on the todo list and have approval from the data providers. Just need to write the code now and define the mechanisms to filter the data :)

Feedback welcome, how would you allow users to filter the data? And how would you gather/create that data in the first place? (its 4TB+ across 16,000 equities)
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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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Any progress on this? A suggestion: Start with Forex and commodities to limit the number of instruments and therefore the data amount?
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Hey @Bengt! You can backtest multiple symbols/assets and allocate on assets. What we want to enable (and should have very soon) is selecting a "universe" of symbols -- a set of symbols which match certain properties such as volume, price, earnings etc. Those properties will update each day and adjust the universe of data pushed into the data handler.

The easiest way to set holdings dynamically is with "SetHoldings": e.g. this will set apple to 50% buying power: SetHoldings("AAPL", 0.5m);
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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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





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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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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