Hi everyone,
I built a simple strategy to buy a basket of securities at market close and sell them at open. The code executes the way I want it to but it takes roughly 30mins to backtest just 2 months of data with only a handful of securities. I'm a beginner when it comes to programming so it's probably my own doing, what are some ways to improve the speed at which it backtests?
class MultidimensionalHorizontalShield(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 11, 10) # Set Start Date
self.SetEndDate(2019,12,10) #Set End Date
self.SetCash(10000) # Set Strategy Cash
# Adds securities to the universe we can pull from
self.AddEquity("MCD", Resolution.Minute)
self.AddEquity("dis", Resolution.Minute)
self.AddEquity("aapl", Resolution.Minute)
self.AddEquity("mrk", Resolution.Minute)
self.AddEquity("csco", Resolution.Minute)
self.AddEquity("BRK.B", Resolution.Minute)
self.AddEquity("tsm", Resolution.Minute)
self.AddEquity("vz", Resolution.Minute)
self.AddEquity("MSFT", Resolution.Minute)
self.AddEquity("orcl", Resolution.Minute)
# Sets comission model to be 0 fee
self.Securities["MCD"].SetFeeModel(CustomFeeModel())
self.Securities["dis"].SetFeeModel(CustomFeeModel())
self.Securities["aapl"].SetFeeModel(CustomFeeModel())
self.Securities["mrk"].SetFeeModel(CustomFeeModel())
self.Securities["csco"].SetFeeModel(CustomFeeModel())
self.Securities["BRK.B"].SetFeeModel(CustomFeeModel())
self.Securities["tsm"].SetFeeModel(CustomFeeModel())
self.Securities["vz"].SetFeeModel(CustomFeeModel())
self.Securities["MSFT"].SetFeeModel(CustomFeeModel())
self.Securities["orcl"].SetFeeModel(CustomFeeModel())
def OnData(self, data):
class DynamicNadionCircuit(QCAlgorithm):
self.Schedule.On(self.DateRules.EveryDay("MCD"), \
self.TimeRules.BeforeMarketClose("MCD", 5), \
self.EveryDayBeforeMarketClose)
self.Schedule.On(self.DateRules.EveryDay("dis"), \
self.TimeRules.BeforeMarketClose("dis", 5), \
self.EveryDayBeforeMarketClose)
self.Schedule.On(self.DateRules.EveryDay("aapl"), \
self.TimeRules.BeforeMarketClose("aapl", 5), \
self.EveryDayBeforeMarketClose)
self.Schedule.On(self.DateRules.EveryDay("mrk"), \
self.TimeRules.BeforeMarketClose("mrk", 5), \
self.EveryDayBeforeMarketClose)
self.Schedule.On(self.DateRules.EveryDay("csco"), \
self.TimeRules.BeforeMarketClose("csco", 5), \
self.EveryDayBeforeMarketClose)
self.Schedule.On(self.DateRules.EveryDay("BRK.B"), \
self.TimeRules.BeforeMarketClose("BRK.B", 5), \
self.EveryDayBeforeMarketClose)
self.Schedule.On(self.DateRules.EveryDay("tsm"), \
self.TimeRules.BeforeMarketClose("tsm", 5), \
self.EveryDayBeforeMarketClose)
self.Schedule.On(self.DateRules.EveryDay("vz"), \
self.TimeRules.BeforeMarketClose("vz", 5), \
self.EveryDayBeforeMarketClose)
self.Schedule.On(self.DateRules.EveryDay("MSFT"), \
self.TimeRules.BeforeMarketClose("MSFT", 5), \
self.EveryDayBeforeMarketClose)
self.Schedule.On(self.DateRules.EveryDay("orcl"), \
self.TimeRules.BeforeMarketClose("orcl", 5), \
self.EveryDayBeforeMarketClose)
####################
self.Schedule.On(self.DateRules.EveryDay("MCD"), \
self.TimeRules.AfterMarketOpen("MCD", 5), \
self.EveryDayAfterMarketOpen)
self.Schedule.On(self.DateRules.EveryDay("dis"), \
self.TimeRules.AfterMarketOpen("dis", 5), \
self.EveryDayAfterMarketOpen)
self.Schedule.On(self.DateRules.EveryDay("aapl"), \
self.TimeRules.AfterMarketOpen("aapl", 5), \
self.EveryDayAfterMarketOpen)
self.Schedule.On(self.DateRules.EveryDay("mrk"), \
self.TimeRules.AfterMarketOpen("mrk", 5), \
self.EveryDayAfterMarketOpen)
self.Schedule.On(self.DateRules.EveryDay("csco"), \
self.TimeRules.AfterMarketOpen("csco", 5), \
self.EveryDayAfterMarketOpen)
self.Schedule.On(self.DateRules.EveryDay("BRK.B"), \
self.TimeRules.AfterMarketOpen("BRK.B", 5), \
self.EveryDayAfterMarketOpen)
self.Schedule.On(self.DateRules.EveryDay("tsm"), \
self.TimeRules.AfterMarketOpen("tsm", 5), \
self.EveryDayAfterMarketOpen)
self.Schedule.On(self.DateRules.EveryDay("vz"), \
self.TimeRules.AfterMarketOpen("vz", 5), \
self.EveryDayAfterMarketOpen)
self.Schedule.On(self.DateRules.EveryDay("MSFT"), \
self.TimeRules.AfterMarketOpen("MSFT", 5), \
self.EveryDayAfterMarketOpen)
self.Schedule.On(self.DateRules.EveryDay("orcl"), \
self.TimeRules.AfterMarketOpen("orcl", 5), \
self.EveryDayAfterMarketOpen)
def EveryDayAfterMarketOpen(self):
self.Liquidate()
#Buys securities with a target 10% of the total portfolio value
def EveryDayBeforeMarketClose(self):
self.SetHoldings("MCD",.1)
self.SetHoldings("dis",.1)
self.SetHoldings("aapl",.1)
self.SetHoldings("mrk",.1)
self.SetHoldings("csco",.1)
self.SetHoldings("csco",.1)
self.SetHoldings("tsm",.1)
self.SetHoldings("vz",.1)
self.SetHoldings("MSFT",.1)
self.SetHoldings("orcl",.1)
# Our 0 fee custom fee model
class CustomFeeModel:
def GetOrderFee(self, parameters):
fee = max(0, parameters.Security.Price
* parameters.Order.AbsoluteQuantity
* 0.00000)
return OrderFee(CashAmount(fee, 'USD'))
Jared Broad
you're creating them 1000's of times
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.
Duncan Fort
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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