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How do I analyze custom data (lets say a csv file based on  earning reports or some other events) using python (pandas/numpy) and generate buy/sell signals and backtest ?

A. Can I analyse the data in quantconnect so I don't have to uplaoda csv file and it could work in real time

B. If I analyse the data outside (lets say google colab), generate a CSV file with buy and sell indicator. Now can I upload to quantconnect and backtest it?

This is not the strategy I am considering but just to give an idea lets say I have earning report from some source which I downlaoded (or used api) and processed with python/pandas (on google colab or quantconnect) and created  a csv like this. 

Date      Symbol     EPS.   Rating.    Buy_indicator.  Sell_indicator.  Position 

2020-1-1 APPL         23    Good.      1                      0                   1

2020-1-2 GOOG        12     Good      1                      0                   1

2020-04-1 APPL      30     Good      1                      0                  2

2020-04-2 GOOG     11      Bad        0                     1                   1

2020-07-1 APPL      25     Neutral   0                    0                  2

2020-07-2 GOOG    10      Bad         0                    0                  0

Now I want to the load the above csv data (if not created within quantconnect) in Quantconnect and backtest the strategy using buy/sell/positon indicators. 

Update Backtest



4 Comments
 
0

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.

easiest way is to upload your file to dropbox, in your algoritme you can read-in the file and do what is required to trade. 

https://www.quantconnect.com/docs/algorithm-reference/importing-custom-data

 

1

Hi Sushil,

Following up on what Dirk said, the link he shared shows how to stream data real-time through Dropbox.As for using custom indicators from a csv, the same link also explains how to import a static file, which you can do with the following:

csv = self.Download("https://www.dropbox.com?....&dl=1")
# read file (which needs to be a csv) to a pandas DataFrame. include following imports above
# from io import StringIO
# import pandas as pd
df = pd.read_csv(StringIO(file))

Best,
Shile Wen

0

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.

Hi Shile

I have successfuly ingested data from Dropbox using the methods in the NIFTY example. I have a problem in passing the new symbol/ticker data to a list. For example my script currently contains this code:

self.tickers = ["VTI", "TLT", "GLD"]
        for ticker in self.tickers:
            self.AddEquity(ticker, Resolution.Daily) 

How can I make a list such as this with my AddData items? For example I initialise the data through:

self.AddData(GoldPhys, "IGLN.L", Resolution.Daily).Symbol
self.AddData(Treas20, "IDTL.L", Resolution.Daily).Symbol
self.AddData(VanSPY, "VDNR.L", Resolution.Daily).Symbol

or 

GoldPhys = self.AddData(GoldPhys, "IGLN.L", Resolution.Daily).Symbol
Treas20 = self.AddData(Treas20, "IDTL.L", Resolution.Daily).Symbol
VanSPY = self.AddData(VanSPY, "VDNR.L", Resolution.Daily).Symbol

and my custom classes like this: 

class GoldPhys(PythonData):
'''IGLN.L Custom Data Class'''
def GetSource(self, config, date, datafeed):
return SubscriptionDataSource("https://www.dropbox.com/s/pqwv2psx3qeysl1/VDNR.csv?dl=0", SubscriptionTransportMedium.Rest)


def Reader(self, config, line, date, datafeed):
if not (line.strip() and line[0].isdigit()): return None

# New GoldPhys object
index = GoldPhys()
index.Symbol = config.Symbol

try:
# Example File Format:
# Date, Open High Low Close Volume
# 2011-09-13 7792.9 7799.9 7722.65 7748.7 116534670
data = line.split(',')
index.Time = datetime.strptime(data[0], "%Y-%m-%d")
index.Value = data[4]
index["open"] = float(data[1])
index["high"] = float(data[2])
index["low"] = float(data[3])
index["close"] = float(data[4])



except ValueError:
# Do nothing
return None

return index

But I cannot successfuly pull this data into an list of symbols/tickers via the old code here. How can I do this?

self.tickers = ["VTI", "TLT", "GLD"]
        for ticker in self.tickers:
            self.AddEquity(ticker, Resolution.Daily) 

Thanks!

0

Hi Am H,

This was answered in this thread.

Best,
Shile Wen

0

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



0

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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